The current situation of energy and environment makes it urgent to develop a new generation of intelligent building windows with energy-saving features to effectively reduce building energy consumption. Thermochromic materials can change their optical characteristics according to changes in external temperature, and intelligently adjust the solar radiation energy entering the room without consuming other energy sources, which makes it a great potential application in building energy conservation. In recent years, an increasing number of research works in regard to thermochromic materials have been carried out, including hydrogels, ionic liquids, perovskites, metamaterials, liquid crystals and VO₂. Among them, VO₂ is one of the ideal candidates because its transmittance decreases obviously in the near infrared region before and after the phase transition and remains unchanged in the visible light range. This review outlines the principles, construction methods, and recent progress in thermochromic smart window coating related materials. Firstly, the structural characteristics, phase transition mechanism and research progress of various thermochromic materials are introduced in detail. Then, taking VO₂ as a vital example, the surface engineering design and optimization of smart window coating is clarified and the influence of different construction methods on optical performance is discussed deeply. Finally, the challenges and future development direction of thermochromic smart coatings is presented.