The spray pyrolysis technique has been extensively used to synthesize materials for a wide variety of applications such as micro and sub-micrometer dimension MOSFET´s for integrated circuits technology, light emitting devices for displays, and solid-state lighting, planar waveguides and other multilayer structure devices for photonics. This technique is an atmospheric pressure chemical synthesis of materials, in which a precursor solution of chemical compounds in the proper solvent is sprayed and converted into powders or films through a pyrolysis process. The most common ways to generate the aerosol for the spraying process are by pneumatic and ultrasonic systems. The synthesis parameters are usually optimized for the materials optical, structural, electric and mechanical characteristics required. There are several reviews of the research efforts in which spray pyrolysis and the processes involved have been described in detail. This review is intended to focus on research work developed with this technique in relation to high-K dielectric and luminescent materials in the form of coatings and powders as well as multiple layered structures.