Wolbachia is one of the most abundant endosymbionts on earth, with a wide distribution especially in arthropods. Effective maternal transmission and the induction of various phenotypes in their hosts are two key features of this bacterium. Here, we review our current understanding of another central aspect of Wolbachia's success: their ability to switch from one host species to another. We build on the proposal that Wolbachia host shifts occur in four main steps: (i) physical transfer to a new species; (ii) proliferation within that host; (iii) successful maternal transmission; and (iv) spread within the host species. Host shift can fail at each of these steps, and the likelihood of ultimate success is influenced by many factors. Some stem from traits of Wolbachia (different strains have different abilities for host switching), others on host features such as genetic resemblance (e.g. host shifting is likely to be easier between closely related species), ecological connections (the donor and recipient host need to interact), or the resident microbiota. Host shifts have enabled Wolbachia to reach its enormous current incidence and global distribution among arthropods in an epidemiological process shaped by loss and acquisition events across host species. The ability of Wolbachia to transfer between species also forms the basis of ongoing endeavours to control pests and disease vectors, following artificial introduction into uninfected hosts such as mosquitoes. Throughout, we emphasise the many knowledge gaps in our understanding of Wolbachia host shifts, and question the effectiveness of current methodology to detect these events. We conclude by discussing an apparent paradox: how can Wolbachia maintain its ability to undergo host shifts given that its biology seems dominated by vertical transmission?