Thermal insulating materials (TIMs) are widely used in roadways, tunnels, airfields, pipeline systems, and buildings in cold regions to prevent infrastructure from freeze damages and reduce energy consumption. During the period of use in cold regions, however, seasonal freeze-thaw actions can cause degradation of thermal and mechanical properties of TIMs and even malfunctions. Lots of research has been carried out on the durability of TIMs under cyclic freeze-thaw (CFT), but comprehensive reviews are scarce at present. Based on a literature review, the state and development of the test apparatus, temperature controls for the CFT test, and changes in the thermal and mechanical characteristics of TIMs during the CFT operations were summarized in this study. The review shows that the CFT can damage the TIMs’ microstructure, which will result in an increase in the materials’ thermal conductivity and water absorption rate with a decrease in their mechanical strength. However, since the application scenarios of TIMs are various, there are significant differences in previous researches, especially the test conditions. These differences limited the applicability of the test results and make a barrier among researchers and engineers. Thus, a unified test method for the durability of TIMs under the CFTs should be established in the future.