Building in prolonged high-temperature and high-humidity environments are critically impacted by coupled hygrothermal effects. Consequently, in-depth research into the mechanisms of coupled heat and moisture transfer, as well as corresponding energy-saving and moisture-proof measures, is critical for optimizing the thermal design of building envelope in extreme hot and humid climates. This paper systematically summarizes the progress in this field through a comprehensive literature review. Existing research on coupled heat and moisture transfer mechanisms are reviewed. The impacts of coupled heat and moisture transfer on energy consumption, indoor thermal comfort, and structural durability are summarized. Additionally, the energy-saving and moisture-proof measures proposed in current studies are consolidated. The review reveals the following key findings: In the coupled hygrothermal model established in previous studies, the boundary conditions under high temperature and high humidity environment are less considered; In the future, phase change materials can be combined with other materials to achieve the purpose of both energy saving and moisture proof; In the future thermal design, the overall structure and material properties of the building can be considered, and moisture-proof measures should be taken for the parts where moisture accumulation is easy to occur.