The rapid development of wearable, highly integrated, and flexible electronics has stimulated great demand for on-chip and miniaturized energy storage devices. By virtue of their high power density and long cycle life, micro-supercapacitors (MSCs), especially those with interdigital structures, have attracted considerable attention. In recent years, tremendous theoretical and experimental explorations have been carried out on the structures and electrode materials of MSCs, aiming to obtain better mechanical and electrochemical properties. The high-performance MSCs can be used in many fields, such as energy storage and medical assistant examination. Here, this review focuses on the recent progress of advanced MSCs in fabrication strategies, structural design, electrode materials design and function, and integrated applications, where typical examples are highlighted and analyzed. Furthermore, the current challenges and future development directions of advanced MSCs are also discussed.