The convection heat loss from cavity receiver in parabolic dish solar thermal power system can significantly reduce the efficiency and consequently the cost effectiveness of the system. It is important to assess this heat loss and subsequently improve the thermal performance of the receiver. This paper aims to present a comprehensive review and systematic summarization of the state of the art in the research and progress in this area. The efforts include the convection heat loss mechanism, experimental and numerical investigations on the cavity receivers with varied shapes that have been considered up to date, and the Nusselt number correlations developed for convection heat loss prediction as well as the wind effect. One of the most important features of this paper is that it has covered numerous cavity literatures encountered in various other engineering systems, such as those in electronic cooling devices and buildings. The studies related to those applications may provide valuable information for the solar receiver design, which may otherwise be ignored by a solar system designer. Finally, future development directions and the issues that need to be further investigated are also suggested. It is believed that this comprehensive review will be beneficial to the design, simulation, performance assessment and applications of the solar parabolic dish cavity receivers.