Solid Oxide Fuel Cells (SOFCs) are emerging as a leading solution in sustainable power generation, boasting high power-to-energy density and minimal emissions. With efficiencies potentially exceeding 60% for electricity generation alone and up to 85% when in cogeneration applications, SOFCs significantly outperform traditional combustion-based technologies, which typically achieve efficiencies of around 35–40%. Operating effectively at elevated temperatures (600 °C to 1000 °C), SOFCs not only offer superior efficiency but also generate high-grade waste heat, making them ideal for cogeneration applications. However, these high operational temperatures pose significant thermal management challenges, necessitating innovative solutions to maintain system stability and longevity. This review aims to address these challenges by offering an exhaustive analysis of the latest advancements in SOFC thermal management. We begin by contextualizing the significance of thermal management in SOFC performance, focusing on its role in enhancing operational stability and minimizing thermal stresses. The core of this review delves into various thermal management subsystems such as afterburners, heat exchangers, and advanced thermal regulation strategies. A comprehensive examination of the recent literature is presented, highlighting innovations in subsystem design, fuel management, flow channel configuration, heat pipe integration, and efficient waste heat recovery techniques. In conclusion, we provide a forward-looking perspective on the state of research in SOFC thermal management, identifying potential avenues for future advancements and their implications for the broader field of sustainable energy technologies.