Vertical cavity surface emitting lasers (VCSELs) meet the data transmission requirements in parallel optical transmission, optical interconnect, and other fields, and can be applied to single channel and parallel optical interconnection networks. It is also a key optoelectronic device in broadband Ethernet and high-speed data communication. The thermal effect severely limits the bandwidth and high-speed modulation performance of VCSEL, and affects the stability of the output. By optimizing current distribution, adjusting oxidation pore size, thinning the substrate, using materials with high thermal conductivity, and bonding heat sinks, the thermal dissipation of VCSEL can be facilitated. This article reviews the research progress in thermal management of VCSEL, which is crucial for improving its high-speed modulation performance. Finally, it introduces the latest research results within the authors' research group, which are high-speed multi-hole apertures VCSEL with efficient heat dissipation structure.