Refractory alloys exhibit excellent high-temperature mechanical properties and stability, demonstrating broad application prospects in various extreme high-temperature environments. Alloying, by precisely regulating composition and microstructure, endows alloys with good comprehensive properties, thereby significantly enhancing their service performance in specific environments. Therefore, it is a key technology in the refractory metals industry. Notably, extensive research has demonstrated that rare earth alloying typically plays a crucial role in improving the comprehensive performance of refractory alloys. To elucidate the alloying effects of rare earth elements in refractory alloys, this work systematically reviewed the relevant studies on Y alloying in Nb, Mo, W, Zr, and their corresponding alloys. Therefore, the mechanistic roles of rare earth elements in microstructural evolution, mechanical property enhancement, and oxidation/corrosion resistance improvement of refractory alloys are comprehensively summarized in this review. Furthermore, future research directions for rare earth alloying in refractory alloys are discussed and proposed.