Thermal fatigue is a dominant mechanism that causes premature failure in components exposed to high temperature. In order to extend the useful life of tools for hot work, studies have been conducted trying to understand the mechanisms involving thermal fatigue. Thus, different types of materials combined with different parameters of thermal and surface treatments have been investigated using thermal fatigue tests. This review addresses the main aspects of thermal fatigue as well as the main alternatives used to increase the resistance of the material to this type of failure.