Abstract: Volatiles (such as H₂O, CO₂) are the crucial factors controlling the physical-chemical properties and dynamic processes of the multi-layer system within the Earth, and therein play an important role in plate tectonics, magmatic-mineral activities, and even the development of the planet's habitable environment. Because volatiles can drastically alter the physical characteristics of crust-mantle rocks, the primary method for determining their content and distribution within the Earth is to combine geophysical observations with high-temperature and high-pressure petrophysical experiments. Of the many physical properties, electrical conductivity is particularly sensitive to the presence and abundance of trace amounts of volatile materials, and therefore the deep conductivity structure derived from natural-source electromagnetic (EM) sounding methods such as magnetotellurics (MT) and geomagnetic depth sounding (GDS) offers crucial observational information for constraining the distribution of volatiles in the crust and mantle. This review firstly summarizes the basic principles and characteristics of the major natural-source EM sounding methods, and presents in detail the high-temperature and high-pressure experimental studies on the electrical conductivity of major minerals/rocks and melts in the crust and mantle, then reviews typical cases combining the two methods to study the distribution of deep volatiles in different geological settings. Finally, this review synthesizes and discusses the existing shortcomings and difficulties of current research, and further prospects the future development directions and potential challenges.