This paper reviews the state of the art of untethered, wirelessly actuated and controlled micro-robots. Research for such tools is being increasingly pursued to provide solutions for medical, biological and industrial applications. Indeed, due to their small size they offer both high velocity, and accessibility to tiny and clustered environments. These systems could be used for in vitro tasks on lab-on-chips in order to push and/or sort biological cells, or for in vivo tasks like minimally invasive surgery and could also be used in the micro-assembly of microcomponents. However, there are many constraints to actuating, manufacturing and controlling micro-robots, such as the impracticability of on-board sensors and actuators, common hysteresis phenomena and nonlinear behavior in the environment, and the high susceptibility to slight variations in the atmosphere like tiny dust or humidity. In this work, the major challenges that must be addressed are reviewed and some of the best performing multiple DoF micro-robots sized from tens to hundreds µm are presented. The different magnetic micro-robot platforms are presented and compared. The actuation method as well as the control strategies are analyzed. The reviewed magnetic micro-robots highlight the ability of wireless actuation and show that high velocities can be reached. However, major issues on actuation and control must be overcome in order to perform complex micro-manipulation tasks.