Mediation models are frequently used in the research of psychology and other social science disciplines. Mediation indicates that the effect of an independent variable on a dependent variable is transmitted through a third variable, which is called mediator. In most applied research, Baron and Kenny’s (1986) causal steps approach has been used to test mediating effect. In recent years, however, many methodological researchers questioned the rationality of the causal steps approach, and some of them even attempted to stop its use. Firstly, we clarify the queries on the causal steps approach one by one. Secondly, we propose a new procedure to analyze mediating effects. The new procedure is better than any single method that constitutes the procedure in terms of Type I error rate and power. The proposed procedure can be conducted by using observed variables and/or latent variables. Mplus programs are supplied for the procedure with observed variables and/or latent variables. Finally, this article introduces the development of mediation models, such as mediation model of ordinal variables, multilevel mediation, multiple mediation, moderated mediation, and mediated moderation.