The rapid development of wearable electronics, self-powered systems, and the Internet of Things urgently requires efficient thermal management (TM) technologies and sustainable energy solutions. However, triboelectric nanogenerator (TENG) and their integrated electronic components inevitably generate or accumulate Joule thermal. It led to performance degradation or even device failure. This review focuses on the research progress in integrating advanced TM technologies into TENGs, aiming to provide comprehensive insights for constructing high-performance and highly stable self-powered systems. The scope of this review encompasses: (i) systematically summarizing the design and development of TM-TENG systems based on key materials, such as graphene, carbon nanotubes, MXene, cellulose, and phase change materials, (ii) elucidating the bidirectional coupling mechanism between triboelectric charge generation and thermal management, along with a critical analysis of existing theoretical models, and (iii) detailing the multifunctional integration and applications potential of TM-TENGs in the fields including thermal conversion, thermal energy harvesting, storage, actuation, and conduction. The bidirectional coupling mechanisms between triboelectric charge generation and thermal management are thoroughly dissected at a theoretical level. The predominant physical models explaining the interaction phenomena between frictional heating and thermal management are reviewed, with critical analysis of their applicability and limitations. Furthermore, this work discusses the current challenges and future directions in this field and proposes strategic recommendations for realizing more advanced TM-TENG systems. The primary objectives of this review are to synthesize existing knowledge, clarify interaction mechanisms, and promote interdisciplinary development at the inter of thermal management and energy harvesting.