Recent advent of X-ray Free Electron Laser (XFEL) and PW lasers, delivering light with extreme brilliance, opens up the new era for various fields of research. High energy density physics (HEDP), the study of matter at extremely high pressures and temperatures, is one of those benefited enormously from these light sources. As a new subfield of physics intersecting multiple disciplines, such as plasma, condensed matter, and astrophysics, it is a field rich in new physics phenomena and compelling applications, propelled by advances in high performance computing and advanced measuring techniques. In this talk, I will introduce HEDP, XFEL and high-power lasers, and review some key experiments in HEDP which my group has been involved. I will also conjecture on some of the future directions in HEDP that can be exploited with these light sources.