The deterioration of concrete microstructures in freeze–thaw (F–T) cycles is the primary reason for the reduction in the service life of concrete. This paper reviews recent progress in the theory of damage mechanisms and damage models of concrete in F–T cycles. It is a detailed review of the salt-freeze coupling condition, microstructure testing, and models for the evolution of concrete properties that are subjected to F–T damage. Summarized in this paper are the deterioration theory of water phase transition; the mechanism of chloride-F–T and sulfate-F–T damage; the microstructure testing of hydration products, pore structure, microcracks, and interfacial transition zones (ITZ). Furthermore, F–T damage models for the macrostructure are presented. Finally, the issues that are existing in the research and outlook of concrete F–T damage are highlighted and discussed. This paper is helpful in understanding the evolution of F–T damage, and also provides a comprehensive insight into possible future challenges for the sustainable design and specifications of concrete in cold environments.