Thermal error caused by thermal deformation is one of the most significant factors influencing the accuracy of the machine tool. Compensation is a practical and efficient method to reduce the thermal error. Among all the thermal error compensation processes, thermal error modeling is the premise and basis because the effectiveness of the compensation is directly determined by the accuracy and robustness of modeling. In this paper, an overview of the thermal error modeling methods that have been researched and applied in the past ten years is presented. First, the modeling principle and compensation methods of machine tools are introduced. Then, the methods are classified and summarized in detail. Finally, the future research trend of thermal error modeling is forecasted.