Nowadays, soy protein-based food is consumed globally as an eco-friendly and healthy plant-based alterative. Nevertheless, more effort is still needed to improve the functionalities of soy protein for a wider application and addressing its existing challenges. Heat treatment is a fundamental approach in industrial food processing due to its simplicity, cost-effectiveness, and versatility. This review gave an emphasis on the recent advance in improving the functionalities of soy protein by heat treatment, including traditional and innovative heating, as well as a combination of heating and other techniques. Traditional thermal treatment has been proven to effectively improve the techno-functional properties of soy protein (e.g., heat stability; emulsifying, foaming, and gelation properties; and fibrillation), or to overcome its drawbacks (e.g., nutritional issues and antigenicity), or to promote its interactions with other compounds for novel functionalities via complicated protein changes (including conformational changes (e.g., unfolding, secondary and tertiary structures, surface hydrophobicity/charge) and covalent and/or non-covalent aggregation, as well as binding with other compounds). Recently, researchers have also proposed innovative heating and combination of heating and other techniques for a more efficient and effective soy protein modification. This review gave hints for a more precise and tailored modulation of soy protein functionalities via heat treatment in the commercial application.