Thermal processing is the most commonly used technique for fish products. Different thermal processing techniques vary in the degree of lipid oxidation, protein degradation, and Maillard reaction, as well as the synergy among these reactions, thereby differentially affecting flavor. Focusing on four typical thermal processing methods, steaming, boiling, frying, and roasting, this paper reviews the flavor change patterns in various types of fish products under different thermal processing conditions. Moreover, from the perspective of the synergy among lipid oxidation and decomposition, protein degradation, and the Maillard reaction, this paper systematically elucidates the formation mechanisms underlying the flavor substance enrichment and differentiation in fish meat during thermal processing.