Multidimensional constructs are frequently applied to the studies of psychology, education, management and organizational behavior. The conventional measurement methods, including the total score approach, the individual score approach and the higher-order factor model, can’t solve the bandwidth-fidelity dilemma in multidimensional testing. A better solution is to build a bi-factor model for the multidimensional construct. The bi-factor model is potentially applicable when (a) there is a general factor that is hypothesized to account for the commonality of all items; (b) there are multiple domain specific factors, each of which is hypothesized to account for the unique influence of the specific domain. The relationship between the bi-factor model and the higher-order factor model is discussed from the perspective of the concepts, mathematical models, parameters, and practical applications. The applications of the bi-factor model are demonstrated or summarized, including in the reliability study, the method effects of balance scales, exploratory factor analysis and item response theory. An example of bi-factor model is illustrated to explore the structure of Rosenberg’s self-esteem scale and show the existence of effects associated with positive and negative wording besides of the self-esteem trait.