Recent advances in the development of multitarget tyrosine kinase inhibitors (MTKIs), which mainly target the vascular endothelial growth factor receptor (VEGFR), have improved prognoses and dramatically changed the treatment strategy for advanced thyroid cancer. However, adverse events related to this inhibition can interrupt treatment and sometimes lead to discontinuation. In addition, they can be annoying and potentially jeopardize the subjects’ quality of life, even allowing that the clinical outcome of patients with advanced thyroid cancer remains limited. In this review, we summarize the potential mechanisms underlying these adverse events (hypertension, proteinuria and renal impairment, hemorrhage, fistula formation/gastrointestinal perforation, wound healing, cardiovascular toxicities, hematological toxicity, diarrhea, fatigue, and acute cholecystitis), their characteristics, and actual management. Furthermore, we also discuss the importance of related factors, including alternative treatments that target other pathways, the necessity of subject selection for safer administration, and patient education.