The thermal stress of power electronic components is one of the most important causes of their failure. Proper thermal management plays an important role for more reliable and cost-effective energy conversion. As one of the most vulnerable and expensive components, power semiconductor components are the focus of this paper. Possible approaches to control the semiconductor junction temperature are discussed in this paper, along with the implementation in several emerging applications. The modification of the control variables at different levels (modulation, control, system) to alter the loss generation or distribution is analyzed. Some of the control solutions presented in literature, which showed experimentally that the thermal stress can be effectively reduced, are reviewed in detail. These results are often mission-profile dependent and the controller needs to be tuned to reach the desired cost-benefit trade-off. The paper analyzes also the many open questions of this research area. Among them, it is worth highlighting that a verification of the actual lifetime extension is still missing.