The terms "multicaloric effect" and "multicaloric" are relatively new concepts and combine the phenomena and materials associated with the coexistence of conventional caloric effects under the action of external forces of various nature (magnetic field, electric field, mechanical action). Nowadays, caloric materials remain in the focus of attention of researchers, and approaches based on the use of the multicaloric effect are considered as one of the ways to improve the efficiency of conventional solid-state cooling systems. Of particular interest from a fundamental point of view are the cross effects observed under the combined external stimulus, as well as the nature of the relationship between magnetic, electrical, thermophysical properties and structure under such actions. In this review, the theoretical foundations of the multicaloric effect are considered and an attempt is made to systematize multicaloric materials. Applied aspects of multicalorics are considered separately, and various experimental approaches to the study of their properties are presented. The presented review will be of interest to a wide range of specialists involved in the study of materials with caloric effects (magnetocaloric, electrocaloric, mechanocaloric), as well as those who are searching for new functional materials.