The reduction of CO₂ emissions has become a global concern. In this regard, the EU intends to cut CO₂ emissions by 55% by 2030 compared to those of 1990. The utilization of shallow geothermal energy (SGE) in EU countries is considered the most effective measure for decarbonizing heating and cooling. SGE systems utilize heat energy collected from the earth’s crust to provide secure, clean, and ubiquitous energy. This paper provides a literature review on the use of SGE for heating and cooling purposes. The latest advances in materials, new innovative structures, and techno-economic optimization approaches have been discussed in detail. Shallow geothermal energy’s potential is first introduced, and the innovative borehole structures to improve performance and reduce installation cost is outlined. This is followed by an extensive survey of different types of conventional and thermally enhanced collectors and grouts. Attention is mainly given to the techno-economic analysis and optimization approaches. In published case studies, the least economic break-even point against fossil fuel-based heating systems occurs within 2.5 to 17 years, depending on the local geological conditions, installation efficiency, energy prices, and subsidy. Ground source heat pumps’ cost-effectiveness could be improved through market maturity, increased efficiency, cheap electricity, and good subsidy programs.