Recently, the study of quantum materials through thermal characterization methods has attracted much attention. These methods, although not as widely used as electrical methods, can reveal intriguing physical properties in materials that are not detectable by electrical methods, particularly in electrical insulators. A fundamental understanding of these physical properties is critical for the development of novel applications for energy conversion and storage, quantum sensing and quantum information processing. In this review, we introduce several commonly used thermal characterization methods for quantum materials, including specific heat, thermal conductivity, thermal Hall effect, and Nernst effect measurements. Important theories for the thermal properties of quantum materials are discussed. Moreover, we introduce recent research progress on thermal measurements of quantum materials. We highlight experimental studies on probing the existence of quantum spin liquids, Berry curvature, chiral anomaly, and coupling between heat carriers. We also discuss the work on investigating the quantum phase transitions and quasi-particle hydrodynamics using thermal characterization methods. These findings have significantly advanced knowledge regarding novel physical properties in quantum materials. In addition, we provide some perspectives on further investigation of novel thermal properties in quantum materials.