Hydrothermal liquefaction (HTL) and supercritical water gasification (SCWG), two effective thermochemical approaches converting biomass into biofuels, have received increasing attention due to their advantages of a fast reaction rate and the use of wet feedstocks without the need for an energy-intensive drying process. In this review, we first summarize the physical properties of the biocrude oil obtained from HTL and then examine the catalytic hydrotreatment of the biocrude oil with or without solvents. The experimental studies on the SCWG of sewage sludge, microalgae, black liquor, and food wastes are analyzed, and the corrosion and salt-deposition problems associated with the solutions are discussed. Finally, to fully comprehend the reaction mechanism of biomass components in hydrothermal media, the conversion of model compounds (cellulose, hemicellulose, lignin, lipid, protein, and their derivatives) is reviewed.