Neural probe devices have undergone significant advancements in recent years, evolving from basic single‐functional devices to sophisticated integrated systems capable of sensing, stimulating, and regulating neural activity. The neural probes have been demonstrated as effective tools for diagnosing and treating numerous neurological disorders, as well as for understanding sophisticated connections and functions of neuron circuits. The multifunctional neural probe platforms, which combine electrical, optical, and chemical sensing capabilities, hold promising potential for revolutionizing personalized healthcare through closed‐loop neuromodulation, particularly in the treatment of conditions such as epilepsy, Parkinson's disease, and depression. Despite these advances, several challenges remain to be further investigated, including biocompatibility, long‐term signal quality and stability, and miniaturization, all of which hinder their broader clinical application. This paper provides an overview of the design principles of the neural probe structures and sensors, fabrication strategies, and integration techniques for the advanced multi‐functional neural probes. Key electrical, optical, and chemical sensing mechanisms are discussed, along with the selection of corresponding functional materials. Additionally, several representative applications are highlighted, followed by a discussion of the challenges and opportunities that lie ahead for this emerging field.