The nanoconfinement effects of glassy polymer thin films on their thermal and mechanical properties have been investigated thoroughly, especially with an emphasis on its altered glass transition behavior compared to bulk polymer, which has been known for almost three decades. While research in this direction is still evolving, reaching new heights to unravel the underlying physics of phenomena observed in confined thin polymer films, we have a much clearer picture now. This, in turn, has promoted their application in miniaturized and functional applications. To extract the full potential of such confined films, starting from their fabrication, function, and various applications, we must realize the necessity to have an understanding and availability of robust characterization protocols that specifically target thin film thermo-mechanical stability. Being nanometer-sized in thickness, often atop a solid substrate, direct mechanical testing on such films becomes extremely challenging and often encounters serious complexity from the dominating effect of the substrate. In this review, we have compiled together a few important novel and promising techniques for mechano-rheological characterization of glassy polymer thin films. The conceptual background involved in each technique, constitutive equations, methodology, and current status of research are touched upon following a pedagogical tutorial approach. Further, we discussed each technique's success and limitations, carefully covering the puzzling or contradicting observations reported within the broad nexus of glass transition temperature−viscosity−modulus−molecular mobility (including diffusion and relaxation).