Sustainable energy harvesting and efficient thermal management are required for the development of highly integrated electronic devices, the Internet of Things, and flexible and wearable technology. Micro-thermoelectric devices, which are capable of generating electricity from waste heat or using electricity to generate local cooling, are a promising solution. The devices have, in particular, a smaller leg cross-section and height than their commercial, macroscopic counterparts and can thus offer a faster response, higher resolution and greater power density. They can also be integrated with multifunctional microelectronic devices. Here we review the development of micro-thermoelectric devices. We examine progress in device design, integration, characterization and performance, and explore potential applications in cooling, power generation and sensing. We also analyse the key challenges that need to be addressed to create high-performance devices and realize the full commercial potential of the technology.