With the rapid development of smart grids and the deepening of power system reforms, demand-side users, as both buyers and sellers of electricity, face challenges in effectively participating in an open electricity market while achieving a win-win situation for all parties. This has emerged as a research hotspot and challenge. From the perspective of game theory, the main theoretical methods and practical applications of demand response(DR) in smart grids are reviewed and analyzed systematically. The typical game models on the electricity demand side are summarized, including static, dynamic, evolutionary, and cooperative games, and the application of game theory in DR optimization, profit distribution, and user behavior modeling in the context of distributed energy resource management, virtual power plants, and microgrids is explored. Additionally, the applicability and limitations of these models in addressing issues such as multi-agent decision-making, complex network structures, and information asymmetry are analyzed. The review indicates that game theory exhibits excellent flexibility and adaptability in the scenarios of multi-agent decision-making, particularly showing distinct advantages in addressing user load shifting, renewable energy fluctuations, and price incentive design. However, as the scale of the electricity market and smart grids continues to expand, three critical challenges remain: computational cost of dynamic game models, design of coordination mechanisms in multi-agent systems, and strategic uncertainties caused by information asymmetry. Integrating big data and artificial intelligence technologies can further enhance the feasibility and efficiency of game models in high-dimensional, incomplete information, and real-time response environments. Overall, game theory provides important theoretical support and technical solutions for optimizing multi-agent interactions in smart grid demand response. Future research can further explore hybrid game models and integrate emerging technologies like blockchain to improve user data sharing and settlement mechanisms. This can promote multi-energy coupling and interdisciplinary coordinated scheduling, thereby providing more comprehensive and efficient solutions for achieving safe, cost-effective, and low-carbon power grid operation.