As a kind of long-term favorable device, the microelectromechanical system (MEMS) sensor has become a powerful dominator in the detection applications of commercial and industrial areas. There have been a series of mature solutions to address the possible issues in device design, optimization, fabrication, and output processing. The recent involvement of neural networks (NNs) has provided a new paradigm for the development of MEMS sensors and greatly accelerated the research cycle of high-performance devices. In this paper, we present an overview of the progress, applications, and prospects of NN methods in the development of MEMS sensors. The superiority of leveraging NN methods in structural design, device fabrication, and output compensation/calibration is reviewed and discussed to illustrate how NNs have reformed the development of MEMS sensors. Relevant issues in the usage of NNs, such as available models, dataset construction, and parameter optimization, are presented. Many application scenarios have demonstrated that NN methods can enhance the speed of predicting device performance, rapidly generate device-on-demand solutions, and establish more accurate calibration and compensation models. Along with the improvement in research efficiency, there are also several critical challenges that need further exploration in this area.