Binding of short antigenic peptides to major histocompatibility complex (MHC) molecules is a core step in adaptive immune response. Precise identification of MHC-restricted peptides is of great significance for understanding the mechanism of immune response and promoting the discovery of immunogenic epitopes. However, due to the extremely high MHC polymorphism and huge cost of biochemical experiments, there is no experimentally measured binding data for most MHC molecules. To address the problem of predicting peptides binding to these MHC molecules, recently computational approaches, called pan-specific methods, have received keen interest. Pan-specific methods make use of experimentally obtained binding data of multiple alleles, by which binding peptides (binders) of not only these alleles but also those alleles with no known binders can be predicted. To investigate the possibility of further improvement in performance and usability of pan-specific methods, this article extensively reviews existing pan-specific methods and their web servers. We first present a general framework of pan-specific methods. Then, the strategies and performance as well as utilities of web servers are compared. Finally, we discuss the future direction to improve pan-specific methods for MHC-peptide binding prediction.