Solid–liquid interfacial phenomena play an essential role in our everyday lives and are often regarded as the outcome of interactions at the solid–liquid interface. However, the intricately intrinsic mechanism underlying interfacial interactions renders in situ simulations and direct measurements challenging. As an effective analytic method for studying solid–liquid interfacial interactions, microcalorimetry can provide the most basic thermodynamic information (including changes in enthalpy, entropy, and Gibbs free energy during solid–liquid binding/separation processes), which is extremely crucial for understanding interaction directionality and limitation. This review is dedicated to highlighting the pivotal role of microcalorimetry in studying solid–liquid immersion and adsorption processes. Specifically, we provide an overview of the commonly employed microcalorimetric methods, including differential scanning calorimetry (DSC), isothermal titration calorimetry (ITC), and immersion microcalorimetry (IM), and delve into the influence factors of enthalpy change, and finally discuss the specific applications of microcalorimetry in studying various solid–liquid binding processes. There remains a vast expanse of thermodynamic information regarding solid–liquid interactions that await exploration via calorimetry.