This review summarizes the state-of-the-art progress in the molecular dynamics (MD) simulation of graphene's novel thermal properties. Graphene's novel thermal properties, including anisotropic thermal conductivity, decoupled phonon thermal transport, thermal rectification, and tunable interfacial thermal conductance, have attracted enormous interests in the development of next-generation nano-devices. Molecular dynamics simulation is one of the main approaches in numerical simulation of graphene's novel thermal properties. In this paper, the widely used potentials in MD for modeling graphene's novel thermal properties were first described. Then the activities on MD simulation of anisotropic thermal conductivity, decoupled phonon thermal transport, thermal rectification, and tunable interfacial thermal conductance, were discussed, respectively. Finally, the paper was concluded with highlights on both the current status and future directions of the MD simulation of graphene's novel thermal properties.