Short-wavelength free-electron lasers provide ultra-intense, ultra-fast, and highly coherent pulse radiation, tunable from extreme ultraviolet (XUV) to hard X-ray regimes, opening up new avenues for studying ultra-fast electron and structural dynamics processes in atoms, molecules, and clusters. From the few-photon single-ionization, few-photon multiple-ionization, and multiphoton multiple-ionization processes induced in atoms to single-pulse imaging of molecular structures and time-resolved molecular dynamics, further to ultra-fast energy and proton transfer processes in clusters, short-wavelength free-electron lasers have a wide range of applications and a number of groundbreaking achievements have successively achieved. The recent research progress of shortwavelength free-electron lasers in the field of atoms, molecules and clusters is systematically reviewed through several illustrative scientific cases. Finally, the current achievements and future development trends of short-wavelength free-electron lasers in this field are summarized and prospected.