Ultrafast laser direct writing (ULDW) is explored as a facile technique to induce unprecedented physical phenomena and functional structures three dimensionally in glass. The rapid prototyping and compatibility with a diversity of materials offer solutions to requirements for various applications and new emerging platforms in photonic circuits and networks, quantum platform, optical storage, nonlinear optics, and integrated multifunctional photonic chips. In this review, tuning the local thermal accumulation in the ULDW is demonstrated to provide a unique opportunity to induce a series of physical phenomena and produce structure modifications in glass beyond ULDW with negligible thermal accumulation. The device performance and fabrication efficiency are also improvable with adjusting local thermal accumulation. The principles of thermal ULDW, the generated structures and their applications are reviewed. This paper also gives an outlook to the basic challenges of thermal ULDW, and the important and promising directions for the future research.