Windows are important part of buildings and transmit light between indoors and outdoors. Frequent heat exchange through windows increases building energy consumption. Smart windows can change optical properties and modulate solar radiation, which are recognized as frontrunners in building energy saving. Among various smart windows, thermochromic windows usually passively regulate light transmittance in response to environmental temperature, and have showed great potential for practical applications. Thermochromic materials are key to constructing thermochromic smart windows. Usually, reversible phase transition takes place for thermoresponsive materials near the critical transition temperature, leading to changes in transmittance over different spectrum bands. Representative thermochromic materials include metal oxides, hydrogels, perovskites, ionic liquids, and liquid crystals, etc. The intrinsic phase transition temperature, luminous transmittance, and solar modulation ability are among the critical parameters defining the performance of smart windows. New strategies have been developed to modulate the performance of thermochromic materials and smart windows to fit demands from different environments and climates. Such endeavors have boosted smart windows to modulate full-spectrum solar regulation, and to achieve efficient all-climate building energy saving. Next generation smart windows will not only modulate solar transmission, but also convert and store solar energy through new power technologies like thermoelectricity conversion and solar cells. Challenges and future prospects of smart windows are discussed to inspire future building energy saving.