Abstract: Investigations of strongly correlated quantum impurity systems (QIS), which exhibit diversified novel and intriguing quantum phenomena, have become a highly concerning subject in recent years. The hierarchical equations of motion (HEOM) method is one of the most popular numerical methods to characterize QIS linearly coupled to the environment. This review provides a comprehensive account of a formally rigorous and numerical convergent HEOM method, including a modeling description of the QIS and an overview of the fermionic HEOM formalism. Moreover, a variety of spectrum decomposition schemes and hierarchal terminators have been proposed and developed, which significantly improve the accuracy and efficiency of the HEOM method, especially in cryogenic temperature regimes. The practicality and usefulness of the HEOM method to tackle strongly correlated issues are exemplified by numerical simulations for the characterization of nonequilibrium quantum transport and strongly correlated Kondo states as well as the investigation of nonequilibrium quantum thermodynamics.