The properties and applications of MXenes (a family of layered transition metal carbides, nitrides, and carbonitrides) have aroused enormous research interests for a decade since the successful synthesis of few‐layer transition metal carbides in 2011. Though MXenes, as the building blocks, have already been applied in various fields (such as wearable electronics) owing to the distinctive optical, mechanical and electrical properties, their thermal stability and intrinsic thermal properties were less thoroughly investigated compared to other characteristics in early reports. The pioneering theoretical prediction of the thermoelectric nature of MXenes was performed in 2013 while the first experiment‐based report concerning the degradation behavior of the 2D structure at elevated temperatures in a controlled atmosphere was published in 2015, followed by numerous discoveries regarding the thermal properties of MXenes. Herein, after a brief description of the synthesis, this Review summarized the latest insights into the thermal stability and thermophysical properties of MXenes, and further associated these unique properties with relevant applications by multiple examples. Finally, current hurdles and challenges in this field were provided along with some advices on potential research directions in the future.