Methanol-to-olefins (MTO) is a prevalent industrial process for producing light olefins from the non-petroleum route. Molecular sieves are core catalysts for MTO owing to their unique pore structure and tunable acidity. Solid-state nuclear magnetic resonance (NMR) is a powerful tool to elucidate the structure and interpret the catalytic reaction mechanism of the molecular sieves. In this review, we summarize the major progresses in understanding the MTO reaction mechanism with in-situ solid-state NMR, multi-dimensional and -nuclear NMR, 129Xe NMR, and pulsed field gradient NMR (PFG NMR). In-situ solid-state NMR can monitor the dynamic changes of the reactants, intermediates and products under real reaction conditions. Multi-dimensional and multi-nuclear NMR offers rich structural information of the reaction intermediate without having to destroy the catalyst structure. Especially, 129Xe NMR is applied to sensitively probe the pore structure of fresh and deactivated catalysts. PFG NMR could determine the diffusion coefficients of molecules in pores, and elucidate the diffusion mechanism of the molecular sieve.