Abstract: Underground hydrogen storage, represented by salt cavern storage, offers advantages of large capacity, low cost, and high safety, and has become a crucial breakthrough in the development of global hydrogen energy storage systems. Economic feasibility is the core factor for engineering deployment. Although significant progress has been made in key technologies of salt cavern hydrogen storage, its economic evaluation remains relatively insufficient. In this context, this study reviews the current status of China’s hydrogen energy industry and the physicochemical properties of hydrogen, summarizes research progress on the stability, gas tightness, and hydrogen–rock interactions of salt cavern storage, and compares the construction economics of hydrogen versus natural gas storage. Furthermore, a comprehensive review of recent advances in the techno-economic analysis of typical underground hydrogen storage technologies is provided. Based on this foundation, the fuzzy comprehensive evaluation method is applied to conduct a systematic techno-economic assessment of salt caverns, lined rock caverns, depleted gas reservoirs, and aquifers. The results indicate that: the construction cost of salt cavern hydrogen storage is relatively high, with the unit storage capacity construction cost approximately 1.5−2.0 times, and the unit energy storage capacity construction cost about 5−6 times that of natural gas storage. The higher cost is primarily attributed to hydrogen’s lower compressibility, strong permeability, high chemical reactivity, susceptibility to inducing hydrogen embrittlement in metals, and low volumetric energy density; the total life-cycle cost of salt cavern hydrogen storage accounts for only a small proportion of the hydrogen industry chain. The current levelized cost is estimated at 5.03−11.56 RMB/kg, and is expected to further decline with increased storage scale and higher injection–withdrawal frequency. Given that salt cavern hydrogen storage is mainly intended for high-frequency load balancing of intermittent and fluctuating renewable power, its total life-cycle cost demonstrates strong competitiveness; the techno-economic evaluation results based on the fuzzy comprehensive method suggest that salt cavern storage has significant comprehensive advantages over other underground hydrogen storage schemes, making it the most promising pathway for large-scale engineering and industrial application in China. Looking ahead, it is necessary to establish an economic analysis model for underground hydrogen storage tailored to China’s diverse geological conditions and energy layout, so as to better coordinate supply and demand, promote the strategic deployment of salt cavern hydrogen storage, and provide scientific support for national hydrogen energy policymaking.