Pursuing maximum atom utilization efficiency and high selectivity of the metal catalysts is our ultimate goal to design the heterogeneous catalysts. Single atom catalysts (SACs) have gained widespread attention owing to their unexpected catalytic activity and specific selectivity. Large number of approaches came up over the last decade to obtain such a distinct class of catalysts. However, metal atoms tend to agglomerate into clusters or nanoparticles during the reaction process due to their high surface energy. Hence, SACs with high thermally stable ability should be developed to meet their practical applications. This paper summarizes the current state-of-the-art emerging synthesis strategies to get the thermally stable SACs. We systemically discuss the synthesis methods with different metals over series carriers and understand the formation mechanism with in situ transmission electron microscopy (TEM) techniques. Finally, we point out some drawbacks and current challenges for the present studies and propose some key issues that are usually ignored for future studies.