Microcavity lasers are widely applied in bio-chemical sensing, molecular targeted detection, integrated labeling source, and optofluidic control. Particularly, the microstructured optical-fiber-based laser is expected to be a promising candidate for its high-quality factor, low threshold, high integration, and low energy consumption. Moreover, the latest nano technology improves its lasing performance in spectral range, linewidth, and circling lifetime. Considering the specificity in this paper, the discussion presented herein focuses on several typical cases of the microcavity lasers integrated in microstructured optical fiber over the past decades. These micro- and nano-scaled lasers are expected to become a priority in next-generation integrated optics and biomedical photonics.