In this review we will discuss the experimental and theoretical progresses in studying spin-orbit coupled degenerate atomic gases during the last two years. We shall first review a series of pioneering experiments in generating synthetic gauge potentials and spin-orbit coupling in atomic gases by engineering atom-light interaction. Realization of spin-orbit coupled quantum gases opens a new avenue in cold atom physics, and also brings out a lot of new physical problems. In particular, the interplay between spin-orbit coupling and inter-atomic interaction leads to many intriguing phenomena. Here, by reviewing recent theoretical studies of both interacting bosons and fermions with isotropic Rashba spin-orbit coupling, the key message delivered here is that spin-orbit coupling can enhance the interaction effects, and make the interaction effects much more dramatic even in the weakly interacting regime.