Furan and its derivatives are prevalent contaminants in thermally processed foods, known for their potential health risk. This review explores the formation mechanisms, analytical techniques, occurrence, and toxicological aspects of furan and its major derivatives in thermally processed foods. Furan, furfuryl alcohol, furfural, and 5-hydroxymethylfurfural are implicated in carcinogenicity, genotoxicity, and other adverse health effects. The development of robust chronic toxicity data along with refined dietary exposure assessments of these compounds warrants further investigation. Recent statistical methods, including weighted quantile sum, quantile g-computation, and Bayesian kernel machine regression, provide valuable tools for assessing the combined effects of these contaminants. Understanding the complex interplay of furan derivatives in thermally processed foods is essential for comprehensive risk assessment and future research directions.