The spin Hall effect (SHE) of light refers to the transverse spin-dependent splitting of photons with opposite spin angular momentum after the beam passes through inhomogeneous media, in the direction perpendicular to the incident plane. It can be regarded as an analogue of the SHE in electronic systems, where the spin photons and the refractive index gradient replace the spin electrons and the electronic potential, respectively. Fundamentally, the SHE of light originates from the spin-orbit interaction of photons and depends mainly on two different geometric phases, namely, the spin redirection Rytov-Vlasimirskii-Berry phase in the momentum space and the Pancharatnam-Berry phase in the Stokes parameter space. Meanwhile, the SHE of light exhibits great sensitivity to the physical parameters, and combined with quantum weak measurements, has important application prospects in fields of physical parameters measurement and optical sensing. We briefly analyze the physical origin of the SHE of light, review its recent progress in different physical systems, and present its applications in measurements of physical parameters. Finally, the possible developing trends in optical analog computing, microscopy imaging, and quantum imaging are discussed.