Haptic interactions between human and machines are essential for information acquisition and object manipulation. In virtual reality (VR) system, the haptic sensing device can gather information to construct virtual elements, while the haptic feedback part can transfer feedbacks to human with virtual tactile sensation. Therefore, exploring high-performance haptic sensing and feedback interface imparts closed-loop haptic interaction to VR system. This review summarizes state-of-the-art VR-related haptic sensing and feedback techniques based on the hardware parts. For the haptic sensor, we focus on mechanism scope (piezoresistive, capacitive, piezoelectric, and triboelectric) and introduce force sensor, gesture translation, and touch identification in the functional view. In terms of the haptic feedbacks, methodologies including mechanical, electrical, and elastic actuators are surveyed. In addition, the interactive application of virtual control, immersive entertainment, and medical rehabilitation is also summarized. The challenges of virtual haptic interactions are given including the accuracy, durability, and technical conflicts of the sensing devices, bottlenecks of various feedbacks, as well as the closed-loop interaction system. Besides, the prospects are outlined in artificial intelligence of things, wise information technology of medicine, and multimedia VR areas.