In this paper, the widely known path integral method, derived from the application of the Chapman–Kolmogorov equation, is described in details and discussed with reference to the main results available in literature in several decades of contributions. The most simple application of the method is related to the solution of Fokker–Planck type equations. In this paper, the solution in the presence of normal, α-stable, and Poissonian white noises is first discussed. Then, application to barrier problems, such as first passage problems and vibroimpact problems is described. Further, the extension of the path integral method to problems involving multi-degrees-of-freedom systems is analyzed. Lastly, an alternative approach to the path integration method, that is the Wiener Path integration (WPI), also based on the Chapman–Komogorov equation, is discussed. The main advantages and the drawbacks in using these two methods are deeply analyzed and the main results available in literature are highlighted.