As a lightweight and highly insulating composite material, epoxy resin syntactic foam is increasingly widely used for insulation filling in electrical equipment. To avoid core burning and cracking, which are prone to occur during the casting process, the epoxy resin-based syntactic foam insulation materials with high thermal conductivity and low coefficient of thermal expansion are required for composite insulation equipment. The review is divided into three sections concentrating on the two main aspects of modifying the thermal properties of syntactic foam. The mechanism and models, from the aspects of thermal conductivity and coefficient of thermal expansion, are presented in the first part. The second part aims to better understand the methods for modifying the thermal properties of syntactic foam by adding functional fillers, including the addition of thermally conductive particles, hollow glass microspheres, negative thermal expansion filler and fibers, etc. The third part concludes by describing the existing challenges in this research field and expanding the applicable areas of epoxy resin-based syntactic foam insulation materials, especially cross-arm composite insulation.