The DOC (diesel oxidation catalyst), DPF (diesel particulate filter), SCR (selective catalytic reduction), and ASC (ammonia slip catalyst) are widely used in diesel exhaust after-treatment systems. The thermal management of after-treatment systems using DOC, DPF, SCR, and ASC were investigated to improve the efficiency of these devices. This paper aims to identify the challenges of this topic and seek novel methods to control the temperature. Insulation methods and catalysts decrease the energy required for thermal management, which improves the efficiency of thermal management. Thermal insulation decreases the heat loss of the exhaust gas, which can reduce the after-treatment light-off time. The DOC light-off time was reduced by 75% under adiabatic conditions. A 400 W microwave can heat the DPF to the soot oxidation temperature of 873 K at a regeneration time of 150 s. An SCR burner can decrease NOx emissions by 93.5%. Electrically heated catalysts can decrease CO, HC, and NOx emissions by 80%, 80%, and 66%, respectively. Phase-change materials can control the SCR temperature with a two-thirds reduction in NOx emissions. Pt-Pd application in the catalyst can decrease the CO light-off temperature to 113 °C. Approaches of catalysts can enhance the efficiency of the after-treatment systems and reduce the energy consumption of thermal management.