As the skeleton substances of lignocellulosic biomass cell wall and the precursor of biofuels production, the research on cellulose structure, an important natural biomarcromolecules, attracts great attention. Considering its in situ features and higher resolution, Raman spectroscopy has been used to investigate the structure of cellulose molecular chain and cellulose aggregation structure at multi-scale. In this paper, the configurations and corresponding parameters of two types of Raman spectroscopy (Dispersive Raman and FT-Raman) were compared. Subsequently, the utilization of Raman spectroscopy in cellulose micro-distribution, cellulose enzyme hydrolysis, cellulose chain orientation and deformation, cellulose crystallinity and polymorphic transformation was discussed in detail. Given the existing deficiencies of the Raman spectroscopy when used to investigate the natural cellulose, some suggestions were proposed in order to promote the application of Raman spectroscopy to the research of natural macromolecular.