Increasing building energy performance has become an obligatory objective in many countries. Thermal bridge is a major cause of poor energy performance, durability, and indoor air quality of buildings. This paper starts with a review of thermal bridges and their negative impacts on building energy efficiency. Based on published literatures, various types of building thermal bridges are discussed in this paper, including the most effective solutions to diminish their impacts. In addition, various numerical and experimental studies on the balcony thermal bridge are explored. Results show that among all types of thermal bridges, the exposed balcony slab produces the most challenging thermal bridging problem where an integrated thermal and structural design is required. Using low thermal conductivity materials in building construction could help in reducing the impact of thermal bridges. Finally, further investigations are needed to develop more innovative and effective solutions for the balcony thermal bridge.