This review presents an overview of the developments in small-scale shape memory materials: from alloys to oxides and ceramics. Shape memory oxides such as zirconia, different ferroelectric perovskites and VO2-based materials have favorable characteristics of high strength, high operating temperature and chemical resistance, which make this class of shape memory materials interesting for special applications, e.g., in harsh environments or at the nanoscale. Because of the constraint and mismatch stress from neighboring grains in polycrystalline/bulk oxides, the transformation strain of shape memory oxides is relatively small, and micro-cracks can appear after some cycles. However, recent progress in shape memory oxide research related to small-scale approaches such as decreasing the amounts of grain boundaries, strain-engineering, and application in the form of nanoscale thin films shows that some oxides are capable to exhibit excellent shape memory effects and superelasticity at nano/micro-scales. The materials systems ZrO2, BiFO3, and VO2 are discussed with respect to their shape memory performance in bulk and small-scale.