Space-air-ground-integrated monitoring framework incorporates observation devices from various aspects, such as satellites, drones, and ground sensors, has been formed and deployed ubiquitously in new power systems. How to cope with those multi-source heterogeneous data gathered from such various implements is becoming a crucial and urgent challenge. Accordingly, this paper provides a comprehensive and systematic survey of challenges and prospects of multi-source data fusion for new power systems under the monitoring framework, which analyzes the system data characteristics, summarizes the data fusion needs, and discusses the hierarchical classification of multi-source data fusion technologies, along with corresponding advantages and limitations. Three typical scenarios of new power systems, with their respective the input data and its sources, fusion objectives, common methods, future research focuses and challenges are assessed specifically, thus further promoting the development of new power systems.