Molecular recognition, which is the process of biological macromolecules interacting with each other or various small molecules with a high specificity and affinity to form a specific complex, constitutes the basis of all processes in living organisms. Proteins, an important class of biological macromolecules, realize their functions through binding to themselves or other molecules. A detailed understanding of the protein-ligand interactions is therefore central to understanding biology at the molecular level. Moreover, knowledge of the mechanisms responsible for the protein-ligand recognition and binding will also facilitate the discovery, design, and development of drugs. In the present review, first, the physicochemical mechanisms underlying protein-ligand binding, including the binding kinetics, thermodynamic concepts and relationships, and binding driving forces, are introduced and rationalized. Next, three currently existing protein-ligand binding modelsthe lock-and-key, induced fit, and conformational selectionare described and their underlying thermodynamic mechanisms are discussed. Finally, the methods available for investigating protein-ligand binding affinity, including experimental and theoretical/computational approaches, are introduced, and their advantages, disadvantages, and challenges are discussed.