The thawing and warming of ice-rich permafrost present a considerable threat to the long-term stability of the Qinghai–Xizang Railway (QXR) on the roof of the world—that is, the Qinghai–Xizang Plateau (QXP). In this review, we explore the extent of the observed permafrost degradation and embankment damage under the coupled impacts of climate change and engineering construction. The ice-rich permafrost beneath the embankment presents a substantial threat to the thermal–mechanical stability of the embankment due to the permafrost’s accelerated and amplified degradation. The observed embankment deformation has a potential high risk of thaw settlement, especially for 656 embankment–bridge sections, whose potential high risk of thaw settlement may be as great as 25%. Several techniques for roadbed cooling can be used to alleviate these impacts, including crushed rock structure embankments (CRSEs), thermosyphons, and reinforcement measures, which have been demonstrated to be successful in cooling the underlying permafrost and stabilizing an embankment. Under future climate change and permafrost degradation, however, the QXR still faces a high risk of embankment damage caused by permafrost degradation and requires more effective methods to reinforce the thermal–mechanical stability of permafrost. Therefore, a better understanding of such high-risk regions is needed, and roadbed cooling techniques will require further adaption in order to address the issues brought by climate change.