Polymer-based composites exhibit unique advantages in thermal functional applications due to their lightweight, processability, and corrosion resistance. In recent years, advances in additive manufacturing of polymer composites have provided important opportunities for constructing thermal functional devices with tunable thermal properties and integrated complex functionalities. This review summarizes recent progress in additive manufacturing of polymer-based composites for thermal functional applications and outlines key design strategies from three dimensions: material, process, and structural design. These include rational selection and orientation control of thermally conductive fillers, optimization of printing parameters, and the design of spatial and bioinspired structures to achieve enhanced thermal conductivity and precise regulation of heat distribution. Meanwhile, their preliminary applications in thermal actuators, thermal interface materials, thermal cloaking, and efficient heat dissipation systems are reviewed. Finally, this paper highlights the trend toward deep integration of additive manufacturing, intelligent composites, and multifunctional design, and envisions broad prospects in electronics, robotics, and aerospace, providing innovative insights for the development of next-generation thermal functional systems.