In last years, the requirements for materials and devices have increased exponentially. Greater competitiveness; cost and weight reduction for structural materials; greater power density for electronic devices; higher design versatility; materials customizing and tailoring; lower energy consumption during the manufacturing, transport, and use; among others, are some of the most common market demands. A higher operational efficiency together with long service life claimed. Particularly, high thermally conductive in epoxy resins is an important requirement for numerous applications, including energy and electrical and electronic industry. Over time, these materials have evolved from traditional single-function to multifunctional materials to satisfy the increasing demands of applications. Considering the complex application contexts, this review aims to provide insight into the present state of the art and future challenges of thermally conductive epoxy composites with various functionalities. Firstly, the basic theory of thermally conductive epoxy composites is summarized. Secondly, the review provides a comprehensive description of five types of multifunctional thermally conductive epoxy composites, including their fabrication methods and specific behavior. Furthermore, the key technical problems are proposed, and the major challenges to developing multifunctional thermally conductive epoxy composites are presented. Ultimately, the purpose of this review is to provide guidance and inspiration for the development of multifunctional thermally conductive epoxy composites to meet the increasing demands of the next generation of materials.