Infant formula contains thermal processing contaminants, such as dietary advanced glycation end-products (dAGEs), glycidyl esters (GEs), 2-monochloropropane-1,3-diol esters and 3-monochloropropane-1,2-diol esters (MCPDEs). This systematic review aimed to gain insights into the occurrence of these contaminants in different types of infant formula, to understand potential effects of the formulation and processing of infant formulas on these contaminants, as well as into possible mitigation strategies. The occurrence of dAGEs in infant formula depends on the recipes and processing conditions. Hydrolyzed protein formulations promote dAGEs formation in infant formula since peptides are more prone to glycation than intact proteins, which is reflected in high dAGEs concentration in hypoallergenic infant formula. Different carbohydrates in recipes result into different glycation extents of infant formula: maltodextrin containing formulas contained less dAGEs than those with lactose. Concerning mitigation strategies, applying ultra-high-temperature (UHT) treatment during milk processing leads to less dAGEs formation than using in-bottle sterilization. Although data are limited, evidence showed that encapsulation of raw ingredients or the use of antioxidants or enzymes in recipes is promising. The occurrence of MCPDEs and GEs in infant formula fully depends on the vegetable oils used in the recipe. High levels of these contaminants can be found when relatively high amounts of palm oils or fats are used. The mitigation of MCPDEs and GEs should therefore be performed on fats and oils before their application to infant formula recipes. Data and knowledge gaps identified in this review can be useful to guide future studies.