Heat stress (HS), induced by global climate warming, is one of the major limiting factors in edible fungi production. HS suppresses mycelial growth and fruiting body formation by causing excessive accumulation of intracellular reactive oxygen species (ROS), disrupting the integrity of cell membranes and cell walls, and impairing cellular metabolism. Increasing evidence suggests that the application of exogenous substances (ESs) effectively mitigates HS in edible fungi. Based on the recent literature, this review categorizes ESs into three groups—core signaling molecules, plant growth regulators, and cytoprotective agents—and summarizes their beneficial effects against HS in edible fungi. The underlying mechanisms of ES-mediated alleviation of heat-induced damage primarily involve four pathways: (1) regulation of antioxidant systems; (2) preservation of cell wall and membrane structural integrity; (3) modulation of defense-related gene expression; and (4) regulation of carbon metabolic flux. Current challenges and corresponding strategies are discussed to provide a reference for elucidating the mechanisms by which ESs alleviate HS and to promote their practical application in edible fungi production.