The direct conversion of abundant methane into valuable products represents a promising strategy for constructing new chemical synthesis networks. However, conventional thermocatalysis often suffers from moderate selectivity and stability due to the harsh reaction conditions required for methane activation, while photocatalysis typically exhibits low conversion rates owing to intrinsic limitations such as charge recombination and poor mass transfer. Photo-thermo synergistic catalysis has emerged as a next-generation approach that integrates photo and thermal energy inputs, leveraging photons to overcome activation barriers and phonons to accelerate bulk/surface kinetics, thereby addressing the limitations of single-energy systems. In this review, we clarify the advantages and limitations of dual-energy versus single-energy approaches, explain four distinct synergistic modes between photo and thermo, and summarise recent strategies for methane valorisation into a range of valuable products. We also discuss the roles of photon and phonon in modulating reaction kinetics and product selectivity. Finally, we propose insights into current challenges and potential solutions, including scientific performance evaluation, expansion of product scope, development of dual-energy in-situ characterisation techniques, photo-thermo reactor design, and AI-driven catalyst discovery.