Homeodomain leucine zipper (HD-ZIP) proteins are plant-specific transcription factors that contain a homeodomain (HD) and a leucine zipper (LZ) domain. The highly conserved HD binds specifically to DNA and the LZ mediates homodimer or heterodimer formation. HD-ZIP transcription factors control plant growth, development, and responses to abiotic stress by regulating downstream target genes and hormone regulatory pathways. HD-ZIP proteins are divided into four subclasses (I–IV) according to their sequence conservation and function. The genome-wide identification and expression profile analysis of HD-ZIP proteins in model plants such as Arabidopsis ( Arabidopsis thaliana ) and rice ( Oryza sativa ) have improved our understanding of the functions of the different subclasses. In this review, we mainly summarize and discuss the roles of HD-ZIP proteins in plant response to abiotic stresses such as drought, salinity, low temperature, and harmful metals. HD-ZIP proteins mainly mediate plant stress tolerance by regulating the expression of downstream stress-related genes through abscisic acid (ABA) mediated signaling pathways, and also by regulating plant growth and development. This review provides a basis for understanding the roles of HD-ZIP proteins and potential targets for breeding abiotic stress tolerance in plants.