Abstract: With the acceleration of China's "carbon peak, carbon neutrality" process and the deepening of energy transformation, the demands for flexible regulated resources in the power system will be further increased. The installed capacity of gas turbines will have a great room for its growth. Combined with the speed-up development of electricity-to-gas technology, the electricity-gas interconnection systems (EGIS) are becoming the essential energy carriers. The construction of EGIS promotes renewable energy consumption and low-carbon transition of the energy systems. At the same time, it also brings about some potential security risks. The interdependence of the heterogeneous energy flows makes it possible that a failure on either side of the electric or natural gas system may spread across the systems through the coupling devices, eventually resulting in the cascading failures in the EGIS. There is an urgency to establish an effective coordinated security mechanism to strengthen the regular coordinated risk management, the coordinated control, and the energy exchange capability under extreme events. This paper reviews the latest research progresses on the coordinated security mechanisms for the EGIS. Firstly, starting from the several typical cascading failures in the electric power and natural gas systems worldwide in recent years, a brief analysis of the cascading failure propagation mechanism within the EGIS is carried out. Secondly, the research progresses in the EGIS situation awareness and the security early warning are reviewed. Furthermore, the key issues and the related works of the coordinated preventive/corrective control of the EGIS in recent years are combed. Finally, based on summarizing the current research status, the main challenges faced by the coordinated security mechanism of the EGIS are analyzed, and the future research directions are given.