Molecular junctions (MJs) represent an ideal platform for studying charge and energy transport at the atomic and molecular scale and are of fundamental interest for the development of molecular‐scale electronics. While tremendous efforts have been devoted to probing charge transport in MJs during the past two decades, only recently advances in experimental techniques and computational tools have made it possible to precisely characterize how heat is transported, dissipated, and converted in MJs. This progress is central to the design of thermally robust molecular circuits and high‐efficiency energy conversion devices. In addition, thermal and thermoelectric studies on MJs offer unique opportunities to test the validity of classical physical laws at the nanoscale. A brief survey of recent progress and emerging experimental approaches in probing thermal and thermoelectric transport in MJs is provided, including thermal conduction, heat dissipation, and thermoelectric effects, from both a theoretical and experimental perspective. Future directions and outstanding challenges in the field are also discussed.