Numerous innovative advancements in dressing technology for wound healing have emerged. Among the various types of wound dressings available, hydrogel dressings, structured with a three-dimensional network and composed of predominantly hydrophilic components, are widely used for wound care due to their remarkable capacity to absorb abundant wound exudate, maintain a moisture environment, provide soothing and cooling effects, and mimic the extracellular matrix. Composite hydrogel dressings, one of the evolved dressings, address the limitations of traditional hydrogel dressings by incorporating additional components, including particles, fibers, fabrics, or foams, within the hydrogels, effectively promoting wound treatment and healing. The added elements enhance the features or add specific functionalities of the dressings, such as sensitivity to external factors, adhesiveness, mechanical strength, control over the release of therapeutic agents, antioxidant and antimicrobial properties, and tissue regeneration behavior. They can be categorized as natural or synthetic based on the origin of the main components of the hydrogel network. This review focuses on recent research on developing natural polysaccharide-based composite hydrogel wound dressings. Their preparation and composition, the reinforcement materials integrated into hydrogels, and therapeutic agents are also explored. Furthermore, their features and the specific types of wounds where applied are discussed as well.