Mechanical surface modification such as shot peening offer powerful enhancement of fatigue properties of metals and other materials. Cavitation usually causes surface damage in hydraulic machineries. However, careful selection of process parameters allowed developing an approach known as “cavitation peening.” Its advantage is surface roughness increase is lower than in conventional shot peening as there are no solid collisions involved. As cavitation is a hydrodynamic phenomenon, an understanding of both fluid dynamics and materials science is required. Cavitation peening is distinguished from “water jet peening,” in which water column impulse is used. Another flavor is “Submerged laser peening” that involves the use of a pulsed laser and can be considered a type of cavitation peening where cavitating bubbles are generated due to laser ablation. Ultrasound vibration, a popular method for generating cavitation for cleaning, has also been adapted for cavitation peening. The present comparative review presents key insights and achievements and addresses future directions that are required for advancing cavitation peening technology by considering the mechanisms of cavitation peening based on the reported data for water jet, pulsed laser, and ultrasonic cavitation peening. The data and methods are critically considered and summarized in comparison with shot peening. Strategic view of future challenges is presented.