Thermal management for wearable devices is evolving to make ubiquitous applications possible based on advanced devices featuring miniaturization, integration, and ultrathin designs. Thermal management and control integrated with wearable devices are highly desirable for various applications for human body monitoring, including external heat exposure and metabolic heat generation, in various activities. Recently, dynamic change materials have been integrated with micro/nano thermal management platforms to address the potential for active thermal management. In this article, recent advances in the architecture of effective thermal management in wearable devices are reviewed, along with the essential mechanisms for managing thermal conditions for users in external/internal thermal environments. Appropriate thermal management approaches are proposed for the design and integration of materials/structures tailored to specific targets in wearable devices. In particular, this review is devoted to materials/structures based on five thermal management strategies: conduction, radiation, evaporation/convection, heat absorption/release, and thermoelectric (TE). Finally, the challenges and prospects for practical applications of thermal management in wearable devices are discussed.