Some living organisms with hierarchical structures in nature have received extensive attention in various fields. The hierarchical structure with multiple pores, a large number of solid–gas interfaces and tortuous conduction paths provide a new direction for the development of thermal insulation materials, making the living creatures under these extreme conditions become the bionic objects of scientific researchers. In this review, the research progress of bionic hierarchical structure in the field of heat insulation is highlighted. Polar bears, cocoons, penguin feathers and wool are typical examples of heat preservation hierarchy in nature to introduce their morphological characteristics. At the same time, the thermal insulation mechanism, fractal model and several preparation methods of bionic hierarchical structures are emphatically discussed. The application of hierarchical structures in various fields, especially in thermal insulation and infrared thermal stealth, is summarised. Finally, the hierarchical structure is prospected.