Mg3Sb2-based materials, featuring a unique layered crystal structure, exhibit a favorable combination of low thermal conductivity, high Seebeck coefficient, and decent carrier mobility, establishing them among the most promising mid-temperature thermoelectric systems under active investigation. However, p-type Mg3Sb2 derivatives demonstrate a comparatively lower thermoelectric figure of merit (zT) compared to their n-type counterparts. Enhancing the zT performance of p-type Mg3Sb2 is therefore essential for the development of high-efficiency thermoelectric devices based on this material system. This review systematically summarizes the critical factors governing the thermal transport properties of p-type Mg3Sb2, including intrinsic characteristics such as chemical bonding and crystal structure, as well as extrinsic parameters such as carrier concentration, mobility, point defects, microstructure, and temperature dependence effects. Furthermore, it highlights recent advances in strategies designed to optimize thermal conductivity (κ) and improve zT, mainly including point defect engineering (such as Mg-site doping, Sb-site doping, dual-site co-doping, as well as doping-assisted composite modification), low-dimensional and nanostructural design, and advanced preparation technologies. Experimental studies demonstrate that these targeted strategies, particularly the synergistic introduction of multi-scale defects, can effectively suppress phonon propagation and significantly reduce lattice thermal conductivity (κL). Consequently, substantial improvements in the overall zT of p-type Mg3Sb2-based materials have been realized, providing a robust scientific and technical foundation for accelerating the practical application of Mg3Sb2-based thermoelectric devices.