Hydrothermal carbonization (HTC) and hydrothermal liquefaction (HTL) are two energy-efficient thermochemical conversion methods that can improve the dewatering performance of sewage sludge and turn it into useful products, hydrochar or bio-oil. This study presents an overview of the latest development on HTC and HTL in the field of sewage sludge disposal and focuses on critical hydrothermal parameters, physicochemical characteristics of the products, sludge dewater ability, migration behaviors of heavy metals (HMs) and nutrients, and fundamental transformation mechanisms. This work also analyzes the cohydrothermal treatment (HT) of sludge and other wastes, which can increase product yield and improve product quality through the synergistic effect in co-HTC (or co-HTL), and compares the two thermochemical conversion methods. Moreover, the potential challenges and opportunities for the HTC and HTL of sewage sludge are highlighted. This study aims to provide additional information to promote the industrialization of sludge treatment through HTC and HTL methods.