Thermal energy storage systems are extensively investigated because of their fundamental role in the storage of renewable energy and in the recovery of useful heat generated from various systems. The three mechanisms of thermal energy storage are discussed herein: sensible heat storage (QS,stor), latent heat storage (QL,stor), and sorption heat storage (QSP,stor). Various materials were evaluated in the literature for their potential as heat storage mediums in thermal storage systems. The evaluation criteria include their heat storage capacity, thermal conductivity, and cyclic stability for long-term usage. This work offers a comprehensive review of the recent advances in materials employed for thermal energy storage. It presents the various materials that have been synthesized in recent years to optimize the thermal performance of QS,stor, QL,stor, and QSP,stor systems, along with the challenges associated with thermal energy storage materials. The paper concludes that latent heat storage systems via the use of inorganic phase change materials (PCMs) would be ideal for high-temperature applications.