Recently, triply periodic minimal surface (TPMS) lattice structures have been increasingly employed in many applications, such as lightweighting and heat transfer, and they are enabled by the maturation of additive manufacturing technology, i.e., laser powder bed fusion (LPBF). When the shell-based TPMS structure’s thickness decreases, higher porosity and a larger surface-to-volume ratio can be achieved, which results in an improvement in the properties of the lattice structures. Micro LPBF, which combines finer laser beam, smaller powder, and thinner powder layer, is employed in this work to fabricate the thin-walled structures (TWS) of TPMS lattice by stainless steel 316 L (SS316L). Utilizing this system, the optimal parameters for printing TPMS-TWS are explored in terms of densification, smoothness, limitation of thickness, and dimensional accuracy. Cube samples with 99.7% relative density and a roughness value of 2.1 μm are printed by using the energy density of 100 J/mm3. Moreover, a thin (100 μm thickness) wall structure can be fabricated through optimizing parameters. Finally, the TWS samples with various TPMS structures are manufactured to compare their heat dissipation capability. As a result, TWS sample of TPMS lattice exhibits a larger temperature gradient in the vertical direction compared to the benchmark sample. The steady-state temperature of the sample base presents a 7 K decrease via introducing TWS.