The multiple‐set split feasibility problem requires finding a point closest to a family of closed convex sets in one space such that its image under a linear transformation will be closest to another family of closed convex sets in the image space. It can be a model for many inverse problems where constraints are imposed on the solutions in the domain of a linear operator as well as in the operator’s range. It generalizes the convex feasibility problem as well as the two‐set split feasibility problem. In this paper, we will review and report some recent results on iterative approaches to the multiple‐set split feasibility problem.