A review of spectroscopic results obtained from Chandra High Energy Transmission Grating Spectrometer and XMM-Newton Reflection Grating Spectrometer observations of several wind-fed high-mass X-ray binaries (HMXBs) is presented. These observations allow us to study the structure of the stellar wind in more detail and provide, for the first time, a dyanmical view of the X-ray photoionized wind that surrounds the compact object. At the same time, however, they are also providing us with numerous puzzles that cannot be explained in terms of simple models. For example, simple spherically-symmetric wind models cannot explain the observed orbital-phase variability of the line intensities and shapes, which may be caused by intrinsic asymmetries due to the presence of the compact object and/or more complicated radiative transfer effects. The observed line shifts are smaller than those expected from extensions of simple wind models of isolated OB supergiants. In addition, several novel spectroscopic discoveries have been made, including: (1) P-Cygni lines from an expanding wind, (2) detection of multiple Si K fluorescent lines from a wide range of charge states, (3) Compton scattered Fe K lines from a cold medium. We discuss how these spectroscopic diagnostics can be used to understand some of the global properties of stellar winds in HMXBs.