AlN ceramics combine high theoretical thermal conductivity, excellent electrical insulation, and a thermal expansion coefficient compatible with silicon, making them ideal candidates for high-power electronic packaging and heat dissipation substrates. However, their practical application has long been constrained by the trade-off between thermal conductivity and mechanical strength. Eliminating lattice oxygen to enhance thermal conductivity often induces grain coarsening and strength degradation, while introducing secondary phases for strengthening tends to form continuous grain-boundary phase networks that impede phonon transport. From the perspectives of phonon transport and micro-fracture mechanics, this paper systematically reviews recent progress in achieving the synergistic improvement of thermal conductivity and strength in AlN ceramics. Regarding powder synthesis and pretreatment, carbothermal reduction combined with precursor dispersion, porous structure design, and carbothermal deoxidation treatment can effectively remove the surface oxide layer and reduce the initial oxygen content. For sintering additives, the systems have evolved from single oxides to multi-component and non-oxide additives, utilizing transient liquid phases and strongly reductive components to increase the driving force for deoxidation, thereby driving the transformation of grain-boundary phases from continuous films to isolated, dispersed pockets. This weakens phonon scattering while retaining grain-boundary pinning effects. In terms of sintering processes, spark plasma sintering, two-step sintering, and ultrafast high-temperature sintering achieve densification at lower temperatures through electric-field assistance or thermodynamic control, effectively suppressing abnormal grain growth. With respect to heterogeneous composites and architectural design, the introduction of one-dimensional whiskers and two-dimensional layered phases can mitigate the intrinsic brittleness, while macroporous scaffolds and micro-scale core–shell structures meet the specific demands for thermal cycling stability and heat transfer efficiency in extreme scenarios such as phase-change thermal energy storage. Finally, this paper identifies key challenges that remain to be addressed, including the evolution kinetics of multicomponent liquids in non-oxide additive systems, the control of light scattering and mechanical anisotropy in additive manufacturing, and the evaluation of service performance under extreme multi-physics coupling conditions, with the aim of providing a reference for the microstructural design and engineering application of high-performance AlN ceramics.