To guarantee the transporting efficiency of microdevices associated with fluid transportation, mixing, or separation and to promote the heat transfer performance of heat exchangers in microelectronics, the hydrodynamic behaviors at unsteady and steady states, as well as the thermal characteristics at the steady state in a pressure-driven electrokinetic slip flow of power-law fluid in a microannulus are studied. To present a more reliable prediction, the slip phenomenon at walls and nonlinear rheology of liquid are incorporated. The modified Cauchy momentum equation applicable to all time scales and energy equations, are analytically solved in the limiting case of a Newtonian fluid and numerically solved for power-law fluids. The transient velocity profile, time evolution of flow rate, temperature profile, and heat transfer rate are computed at different flow behavior indices, electrokinetic width, slip lengths, and Brinkman numbers, thereby, the coupling effect of nonlinear rheology, slip hydrodynamics, and annular geometry on flow and thermal behaviors is explored. The unsteady flow takes a longer time to achieve the steady state for shear thinning fluids or greater slip lengths. The flow behavior index and slip length play a significant role in the flow rate and heat transfer performance. The relevant discussion can serve as a theoretical guide for the operation and thermal management of annular geometry-related flow actuation systems.