Stigma of failure reduces entrepreneurial activity, which is a great loss to the society. However, few scholars have researched the stigma associated with entrepreneurial failure. This paper sorts out the literature from the concept and formation mechanism of the stigma on entrepreneurial failure, the stigma of research types, the results of stigma, discusses the research progress of stigma associated with entrepreneurial failure, and put forward the deficiency of the research and the prospect for future research. Lay a foundation for deepening the research on stigma associated with entrepreneurial failure.