The thermal performance of the building envelope is critical to reducing the energy consumption of buildings and increasing the building energy efficiency. Studies on the evaluation methodology for thermal performance of building wall is of great significance for new building accreditation, retrofitting energy efficiency of old buildings, energy conversation, etc. This work reviews recent developments in methodology of thermal performance evaluation for building wall in situ, which consists of steady-state method, transient method and other non-destructive evaluation methods (e.g., terahertz radiation method). Both fundamental theories and measurement equipment and systems are analysed. The non-contact transient method exploiting the front face measurement is defined as a fast, less-instrument, and less invasive method, with the largest potentiality to be extensively employed in the future. This review will provide a useful reference for the research on the thermal performance evaluation of building wall in situ, guiding to select an appropriate evaluation method to employ in engineering.