This review examines the design of thermal control systems for state-of-the-art deep ultraviolet (DUV) and extreme ultraviolet (EUV) projection lithography tools. The lithographic system under investigation integrates several critical subsystems along the optical transmission chain, including the light source, reticle stage, projection optics (featuring DUV refractive lenses and EUV multilayer mirrors), immersion liquid, wafer stage, and metrology systems. Under high-power irradiation conditions with concurrent thermal perturbations, the degradation of thermal stability and gradient uniformity within these subsystems significantly compromises exposure precision. Through a systematic analysis of the thermal challenges specific to each subsystem, this review synthesizes established thermal control systems across two technical dimensions: thermal control structures and thermal control algorithms. Prospects for future advancements in lithographic thermal control are also discussed.