The current world is in the age of big data where the total amount of global digital data is growing up at an incredible rate. This indeed necessitates a drastic enhancement on the capacity of conventional data storage devices that are, however, suffering from their respective physical drawbacks. Under this circumstance, it is essential to aggressively explore and develop alternative promising mass storage devices, leading to the presence of probe-based storage devices. In this paper, the physical principles and the current status of several different probe storage devices, including thermo-mechanical probe memory, magnetic probe memory, ferroelectric probe memory, and phase-change probe memory, are reviewed in details, as well as their respective merits and weakness. This paper provides an overview of the emerging probe memories potentially for next generation storage device so as to motivate the exploration of more innovative technologies to push forward the development of the probe storage devices.