Two-dimensional (2D) van der Waals (vdW) materials have extraordinary thermal properties due to the effect of quantum confinement, making them promising for thermoelectric energy conversion and thermal management in microelectronic devices. In this review, the mechanism of phonon anharmonicity originating from three- and four-phonon interactions is derived. The phonon anharmonicity of 2D vdW materials, involving the Grüneisen parameter, phonon lifetime, and thermal conductivity, is summarized and derived in detail. The size-dependent thermal conductivity of representative 2D vdW materials is discussed experimentally and theoretically. This review will present fundamental and advanced knowledge on how to evaluate the phonon anharmonicity in 2D vdW materials, which will aid the design of new structures and materials for applications related to energy transfer and conversion.