Oily sludge is a common by-product of the petroleum exploration industry, which is rich in resources and has strong toxicity. It is categorized as hazardous waste in many nations worldwide. Owing to the distinct physical and chemical characteristics of sub/supercritical water, the application of hydrothermal conversion technology, which uses sub/supercritical water as a medium, has been growing in the utilization of resources and the safe disposal of oily sludge. In this article, the research on the oxygen-free hydrothermal transformation of oil sludge, including hydrothermal carbonization, hydrothermal liquefaction, hydrothermal upgrading, and supercritical water gasification, is reviewed. Due to the significant impact of nitrogenous and sulfurous compounds in sludge on hydrothermal conversion products, the hydrogenation conversion, reaction path, and kinetics for these two compounds were discussed. Finally, a summary and comparison of the studies conducted on carriers and catalysts in hydrothermal processes are provided. This review can offer recommendations for future studies, as well as guidance for the hydrothermal catalytic treatment of oily sludge.