In this paper, numerical simulation approaches for multiscale process of heat transfer and fluid flow are briefly reviewed, and the existing coupling algorithms are summarized. These molecular dynamics simulation (MDS)–finite volume method (FVM), MD–lattice Boltzmann method (LBM), and direct simulation of Monte Carlo method (DSMC)–FVM. The available reconstruction operators for LBM–FVM coupling are introduced. Four multiscale examples for fluid flow and heat transfer are presented by using these coupled methods. It is shown that by coupled method different resolution requirements in the computational domain can be satisfied successfully while computational time can be significantly saved. Further research needs for the study of multiscale heat transfer and fluid flow problems are proposed.