As one important subclass of piezoelectric materials, pyroelectric materials have caused increasing attention owing to the unique pyroelectric effect induced by spontaneous polarization, showing broad promising application prospects due to various electrical responses induced by time‐dependent temperature variation. This review systematically introduces the pyroelectric effect and evaluation of pyroelectric materials and follows by analyzing and concluding the novel properties corresponding to four kinds of main pyroelectric materials. The emphasis of this review focuses on several significant and practical applications of pyroelectric materials in thermal energy harvesting from the external environment, pyroelectric sensing, and imaging, even some electrochemical applications including hydrogen generation, wastewater treatment, sterilization, and disinfection. Finally, the development direction of pyroelectric materials, potential challenges and opportunities in the future are all discussed and proposed. Through systematical conclusion and analysis of the latest research progress in the recent two decades, this review may provide significant guide and inspiration in the development of pyroelectric materials.