On Linux you can safely underclock with cpufreq-set on AMD or older CPUs and "pstate" for Intel ones. Thermald is supposed to manage this automatically. Also if you are not running new pstate driver you can set "ignore_nice_load" and it will stay at lowest frequency when running BOINC but scale up for user load.
For nVidia GPUs there is nvidia-settings. It does not allow you to change power target on notebooks, but you can still underclock core and memory after you enable "CoolBits".
I have not used AMDGPU or Catalyst, but there may be a power target setting.
Radeon driver can be set to power-save via sysfs.
Nouveau runs at whatever frequency was set by bios.
And Intel (i915) GPUs you better leave idle.
I would like to hear your results.