The Fischer–Tropsch (FT) process, in which synthesis gas (syngas) derived from coal, natural gas, and biomass is converted into synthetic liquid fuels and chemicals, is a strongly exothermic reaction, and thus, a large amount of heat is generated during the reaction that could severely modify the overall selectivity of the process. In this Review, we report the advantages that can be offered by different thermally conductive supports, that is, carbon nanomaterials and silicon carbide, pure or doped with different promoters, for the development of more active and selective FT catalysts. This Review follows a discussion regarding the clear trend in the advantages and drawbacks of these systems in terms of energy efficiency and catalytic performance for this most-demanded catalytic process. It is demonstrated that the use of a support with an appropriate pore size and thermal conductivity is an effective strategy to tune and improve the activity of the catalyst and to improve product selectivity in the FT process. The active phase and the recovery of the support, which also represents a main concern in terms of the large amount of FT catalyst used and the cost of the active cobalt phase, is also discussed within the framework of this Review. It is expected that a thermally conductive support such as β-SiC will not only improve the development of the FT process, but that it will also be part of a new support for different catalytic processes for which high catalytic performance and selectivity are strongly needed.