Advanced high strength steels (AHSSs) are regarded as the most promising materials for vehicles in the 21st century. AHSSs are complex and sophisticated materials, with microstructures being controlled by precise thermomechanical processing (TMP) technologies. TMP is an established and strategic method for improving the mechanical properties of AHSSs through control of microstructures and is among the most important industrial technologies for producing high quality AHSSs with the necessary mechanical properties. This article aims to provide a comprehensive review of recent progress in TMP of AHSSs, with focus on the processing-microstructure-property relationships of the processed AHSSs. We first present an introduction to the background of the TMP of AHSSs. Then, the recent progress and the latest achievements in TMP of the first, second and third generations of AHSSs and Nano Hiten steels are reviewed in detail, and the mechanisms of the TMP-induced microstructural evolution and mechanical properties variation are addressed and discussed. The present review concludes with a summary on the TMP of AHSSs currently under development, and also offers an outlook of the future opportunities which will inspire more in-depth research and eventually advance practical applications of this innovative field.