When the beam from an intense and ultrafast laser interacts with matter in the four states of nature (gas, liquid, solid, and plasma), the system can emit coherent radiation with frequencies of tens or even hundreds of times that of the fundamental field. This is called high harmonic generation (HHG). As the basis of attosecond science, HHG is a major research area in strong-field physics. To date, research on HHG from gases, solids, and plasmas has made extensive progress, and the corresponding experimental conditions and the underlying physics are reasonably clear. On the other hand, the development of HHG in liquids has been quite slow due to the complexity of liquid systems, and the experimental and theoretical investigations are full of challenges. Here we will review recent experiments on liquid HHG, and then report our results in the theoretical exploration of the underlying mechanisms from a statistical perspective. Lastly, the prospects and potential applications of HHG in liquids will be briefly discussed.