High-pressure adsorption attracts research interests following the world's attention to alternative fuels, and it exerts essential effect on the study of hydrogen/methane storage and the development of novel materials addressing to the storage. However, theoretical puzzles in high-pressure adsorption hindered the progress of application studies. Therefore, the present paper addresses the major theoretical problems that challenged researchers: i.e., how to model the isotherms with maximum observed in high-pressure adsorption; what is the adsorption mechanism at high pressures; how do we determine the quantity of absolute adsorption based on experimental data. Ideology and methods to tackle these problems are elucidated, which lead to new insights into the nature of high-pressure adsorption and progress in application studies, for example, in modeling multicomponent adsorption, hydrogen storage, natural gas storage, and coalbed methane enrichment, was achieved.