The Knudsen pump (KP) is a kind of micro-pump that can form thermally induced flows induced by temperature fields in rarefied gas environments. It has the advantages of having no moving parts, simple structure, easy construction and extension, a wide range of energy sources, and low energy consumption. With the development of Micro/Nano Electro Mechanical Systems (MEMS/NEMS), extensive studies have been conducted on KPs, and the applications of KPs have widened. In order to obtain efficient flow fields in KPs, it is necessary to adopt modern computational methods for simulation and analysis. In many circumstances, the simulation and experimental results have good agreement. However, there seems to be no comprehensive review on KPs at present. In this paper, KPs are first defined and classified according to the flow mechanisms of the thermally induced flows. Then, the three aspects of configurations, performance, and applications of KPs in the current state of research are reviewed and analyzed. Finally, the current problems of KP are discussed, and some suggestions are provided for future research and applications.