Wheel burn can affect the wheel–rail contact state and ride quality. With long-term operation, it can cause rail head spalling or transverse cracking, which will lead to rail breakage. By analyzing the relevant literature on wheel burn, this paper reviews the characteristics, mechanism of formation, crack extension, and NDT methods of wheel burn. The results are as follows: Thermal-induced, plastic-deformation-induced, and thermomechanical-induced mechanisms have been proposed by researchers; among them, the thermomechanical-induced wheel burn mechanism is more probable and convincing. Initially, the wheel burns appear as an elliptical or strip-shaped white etching layer with or without deformation on the running surface of the rails. In the latter stages of development, this may cause cracks, spalling, etc. Magnetic Flux Leakage Testing, Magnetic Barkhausen Noise Testing, Eddy Current Testing, Acoustic Emission Testing, and Infrared Thermography Testing can identify the white etching layer, and surface and near-surface cracks. Automatic Visual Testing can detect the white etching layer, surface cracks, spalling, and indentation, but cannot detect the depth of rail defects. Axle Box Acceleration Measurement can be used to detect severe wheel burn with deformation.