In general, PCM are classified in organic and inorganic groups or families. First group mainly encloses paraffin, fatty acids, and sugar alcohols. Inorganic are mostly represented by salt hydrates, salt solutions, and metals. Eutectics and mixtures are also being formulated to obtain a desired phase change temperature. One of the most important PCM requirements is being stable after a number of repeated melting/freezing cycles, which is known as cycling stability. A PCM should present the same or almost the same thermal, chemical and physical properties after a repeated number of freezing and melting cycles. Thermal cycling tests results and detailed tests procedures are classified by PCM type in this review. Moreover, the parameters that must be considered in order to perform cycling stability tests are highlighted depending on the importance they have on the following four issues: the choice of the equipment to perform the cycling tests; the selection of the techniques to characterize the PCM before and after thermal cycling test and to follow the PCM thermal degradation; the definition of the number of cycles to perform; and finally, the choice of the heating rate and thermal cycling method (pyramid, or dynamic, or others) to perform the tests. It is mandatory to conclude that, based on the literature reviewed, no common standard for thermal cycling stability tests is available at the moment.