The development of small machines, once envisioned by Feynman decades ago, has stimulated significant research in materials science, robotics, and computer science. Over the past years, the field of miniaturized robotics has rapidly expanded with many research groups contributing to the numerous challenges inherent to this field. Smart materials have played a particularly important role as they have imparted miniaturized robots with new functionalities and distinct capabilities. However, despite all efforts and many available soft materials and innovative technologies, a fully autonomous system‐engineered miniaturized robot (SEMR) of any practical relevance has not been developed yet. In this review, the foundation of SEMRs is discussed and six main areas (structure, motion, sensing, actuation, energy, and intelligence) which require particular efforts to push the frontiers of SEMRs further are identified. During the past decade, miniaturized robotic research has mainly relied on simplicity in design, and fabrication. A careful examination of current SEMRs that are physically, mechanically, and electrically engineered shows that they fall short in many ways concerning miniaturization, full‐scale integration, and self‐sufficiency. Some of these issues have been identified in this review. Some are inevitably yet to be explored, thus, allowing to set the stage for the next generation of intelligent, and autonomously operating SEMRs.