The relation between thermal transport and gravity was highlighted in the seminal work by Luttinger in 1964, and has been extensively developed to understand thermal transport, most notably the thermal Hall effect. Here we review the novel concepts that relate thermal transport, the geometry of space-time and quantum field theory anomalies. We give emphasis to the cross-pollination between emergent ideas in condensed matter, notably Weyl and Dirac semimetals, and the understanding of gravitational and scale anomalies stemming from high-energy physics. We finish by relating to recent experimental advances and presenting a perspective of several open problems.