Understanding the process of chemical reactions has always been a relentless pursuit for chemists. The development of femtosecond pump-probe techniques since the 1980s has revolutionized the field of chemical dynamics, enabling the capture of time-resolved snapshots of reactions on the femtosecond timescale. Starting from the 2010s, breakthroughs in femtosecond electron and X-ray sources has enabled ultrafast electron and X-ray diffraction techniques, which is able to directly reveal the temporal evolution of atomic geometries of molecules, allowing for the creation of molecular movies. Gas-phase molecular movies reveal intrinsic intramolecular processes, while liquid-phase molecular movies provide insights for complicated solvent-solute interplay. This mini-review focuses on the advances in studying gas-phase and liquid-phase molecular dynamics (MD) using ultrafast electron and X-ray diffraction techniques on femtosecond and picosecond timescales. The fast-developing experimental capability of the direct observation of molecular structural evolution during chemical reactions, on its natural femtosecond timescale and subangstrom length scale, offers tremendous potential for the field of chemical kinetics and MD.