The optical response of materials based on gold nanoparticle assemblies depends on many parameters regarding both material morphology and light excitation characteristics. In this paper, the interplay between the optical and thermal responses of such media is particularly investigated under its theoretical aspect. Both conventional and original modeling approaches are presented and applied to concrete cases. We first show how the interaction of light with matrix-embedded gold nanoparticles can result in the generation of thermal excitations through different energy exchange mechanisms. We then describe how thermal processes can affect the optical response of a nanoparticle assembly. Finally, we connect both aspects and point out their involvement in the nonlinear optical response of nanocomposite media. This allows us to tackle two key issues in the field of third-order nonlinear properties of gold nanoparticles: The influence of the generalized thermal lens in the long laser pulse regime and the hot electron contribution to the gold particle intrinsic third-order susceptibility, including its spectral dispersion and intensity-dependence. Additionally, we demonstrate the possible significant influence of the heat carrier ballistic regime and phonon rarefaction in the cooling dynamics of an embedded gold nanoparticle subsequent to ultrafast pulsed laser excitation.