With the development of new power systems and the increasing proportion of gas turbine units, coordinating power and natural gas systems is critical to sustainable energy supply and energy transition. Firstly, the research work on coordination mechanism design under information interaction environment of gas market and power market and multi-time scale trading decisions of market entities are reviewed, and the coordination mechanism practices in foreign countries from the perspective of market transaction modes and operating organizations are introduced. Then the market risk and response experience caused by natural gas supply shortage in extreme weather is analyzed based on abnormal electricity price events abroad, and the key problems of market coordination mechanism during the development of domestic gas and power markets are summarized. Finally, some suggestions adapting to the actual domestic situation on the coordination mechanism of the energy market are put forward, which include improving gas-power price transmission and compensation mechanism, strengthening diversified competition of natural gas market, improving information exchange and emergency management capacity between gas-power systems.