Recent results showed that neutrinos undergo flavor oscillation and have finite masses. So far two of the three neutrino mixing angles have been measured while the last one, theta_13, remains to be discovered. Current evidence shows the theta_13 is rather small. The Daya Bay experiment is the world's premier experiment to measure theta_13 with the highest precision using the electron anti-neutrinos from the reactors at the Daya Bay Nuclear Power Plant in Guangdong, China. It is currently under construction and will start data taking in the year 2010. In this talk, I will give an overview and current status of the experiment.