Abstract: With the depletion of the earth’s shallow resources, the exploration of deep rock engineering has become a research hotspot. The research mostly focuses on the influence of high temperature on the properties of deep rocks. This study aims to understand the thermal damage evolution mechanism in a rock under high temperature and make a reasonable evaluation on the safety and stability of underground rock engineering, such as ultra-deep well drilling, deep ground laboratory, nuclear waste disposal, and geothermal resource development. Based on the analysis and review of domestic and foreign literature, the authors systematically reviewed the research progress and development of deformation and failure of the high-temperature rock masses and temperature-varying rock masses under temperature effect. The physical and mechanical properties of rocks after being subjected to high temperature and under real-time high temperature were briefly described. The changes with temperature in the physical and mechanical parameters of deep rocks were summarized. The latest research on the deformation and failure mechanism under high temperature was analyzed, and the applications of advanced auxiliary test technologies, such as acoustic emission (AE), ultrasonic testing (UT), X-ray diffraction (XRD), polarizing microscope (PM), scanning electron microscope (SEM), nuclear magnetic resonance (NMR), and computed tomography (CT) scanning system, in the deformation and failure analysis were introduced. The advantages and disadvantages of the coupled thermal-stress model of the rock, the numerical analysis method, and the applicable conditions were summarized. The variation characteristics of the rock’s mechanical parameters under high temperature were briefly described. Finally, the limitations of the current studies on high-temperature thermal damage in deep rocks were pointed out. The future prospects were discussed from several aspects, i.e., to explore the mechanism of rock thermal damage in a multi-scale and multi-field-phase, and the evolution law of rock thermal damage was systematically analyzed from macro, meso, and micro aspects.