In the context of Industry 4.0, digital transformation is reshaping global energy systems. Among the key enabling technologies, Digital Twin (DT)—a dynamic, virtual replica of physical systems—has emerged as a critical tool for improving the performance, reliability, and safety of clean energy infrastructure. In line with the United Nations Sustainable Development Goals (SDGs)—particularly SDG 7 (Affordable and Clean Energy) and SDG 11 (Sustainable Cities and Communities)—the integration of DTs presents unprecedented opportunities to enhance operational efficiency and support proactive decision making. This state-of-the-art review, focused on studies published in 2020–2025, summarizes applications of DTs across the energy value chain, encompassing a broad spectrum of sectors—including solar, wind, hydropower, hydrogen, geothermal, bioenergy, nuclear, and tidal energy—and their critical role in building-to-grid integration. It synthesizes foundational concepts, assesses the evolution of the DT from a predictive tool to a system-level risk-management platform, and provides a critical analysis of its impact. Furthermore, this review discusses the key challenges hindering widespread adoption, including the critical need for interoperability across systems, ensuring the cybersecurity of socio-technical infrastructure, and addressing the complexities of the human-in-the-loop problem. Key research gaps are identified to guide future innovation. Ultimately, this study underscores the transformative potential of DTs as essential tools for accelerating the digital transformation of the energy sector, offering a robust framework for both methodological development and practical deployment.