The present paper provides details on the new trends in application of asymptotic homogenization techniques to the analysis of composite materials and thin-walled composite structures and their effective properties. The problems under consideration are important from both fundamental and applied points of view. We review a state-of-the-art in asymptotic homogenization of composites by presenting the variety of existing methods, by pointing out their advantages and shortcomings, and by discussing their applications. In addition to the review of existing results, some new original approaches are also introduced. In particular, we analyze a possibility of analytical solution of the unit cell problems obtained as a result of the homogenization procedure. Asymptotic homogenization of 3D thin-walled composite reinforced structures is considered, and the general homogenization model for a composite shell is introduced. In particular, analytical formulas for the effective stiffness moduli of wafer-reinforced shell and sandwich composite shell with a honeycomb filler are presented. We also consider random composites; use of two-point Padé approximants and asymptotically equivalent functions; correlation between conductivity and elastic properties of composites; and strength, damage, and boundary effects in composites. This article is based on a review of 205 references.