Micro and nanoparticle adsorption to and assembly by capillarity at fluid-fluid interfaces are intriguing aspects of soft matter science with broad potential in the directed assembly of anisotropic media. The importance of the field stems from the ubiquitous presence of multiphase systems, the malleability of fluid interfaces, and the ability to tune the interactions of the particles adsorbed on them. While homogeneous spherical particles at interfaces have been well studied, the behavior of anisotropic particles -whether the anisotropy originates from shape or chemical heterogeneity -has been considered only very recently. We review recent advances in the field of anisotropic particles at fluid interfaces, by focusing on particles in the micron and submicron range. We discuss capillary adsorption, orientation, migration, and self-assembly, on planar and curved interfaces, and the rheology of particle-laden interfaces. Prospects for future work and outstanding challenges are also discussed.