The term Anthropocene, which is used by many scientists to refer to the current era, reflects various environmental issues caused by anthropogenic activities. The energy flows and conversions in the anthroposphere and the anthropogenic impacts on the ecosphere, as two major aspects of the physical part of industrial ecology, are both subject to the laws of thermodynamics. After an introduction to human-environment systems and industrial ecology in the Anthropocene, this review focuses on the role and applications of thermodynamic analysis in industrial ecology based on a thermodynamic definition of human-environment systems at four levels, i.e., the ecosphere (A), the anthroposphere (B), the supply chain (C), and the foreground system (D). It argues that process engineering thermodynamics (at level D) and ecological energetics (at level A) are the most mature applications, and the primary benefit added by thermodynamic analysis to industrial ecology lies in the physical validation and quantitative formulation of thermodynamics. The review also indicates the challenges of using thermodynamic analysis to understand the physical complexity of industrial ecology and to guide sustainability decision-making call for a joint effort by thermodynamic analysis and ecosystems ecology and for more insights from social sciences.