In 1935, Einstein, Podolsky and Rosen published their influential paper proposing a now famous paradox (the EPR paradox) that threw doubt on the completeness of quantum mechanics. Two fundamental concepts: entanglement and steering, were given in the response to the EPR paper by Schrodinger, which both reflect the nonlocal nature of quantum mechanics. In 1964, John Bell obtained an experimentally testable inequality, in which its violation contradicts the prediction of local hidden variable models and agrees with that of quantum mechanics. Since then, great efforts have been made to experimentally investigate the nonlocal feature of quantum mechanics and many distinguished quantum properties were observed. In this work, along with the discussion of the development of quantum nonlocality, we would focus on our recent experimental efforts in investigating quantum correlations and their applications with optical systems, including the study of entanglement-assisted entropic uncertainty principle, Einstein-Podolsky-Rosen steering and the dynamics of quantum correlations.