The rapid development of the fifth-generation mobile networks (5G) and Internet of Things (IoT) is inseparable from a large number of miniature, low-cost, and low-power sensors and actuators. Piezoelectric micro-electromechanical system (MEMS) devices, fabricated by micromachining technologies, provide a versatile platform for various high-performance sensors, actuators, energy harvesters, filters and oscillators (main building blocks in radio frequency (RF) front-ends for wireless communication). In this paper, we provide a comprehensive review of the working mechanism, structural design, and diversified applications of piezoelectric MEMS devices. Firstly, various piezoelectric MEMS sensors are introduced, including contact and non-contact types, aiming for the applications in physical, chemical and biological sensing. This is followed by a presentation of the advances in piezoelectric MEMS actuators for different application scenarios. Meanwhile, piezoelectric MEMS energy harvesters, with the ability to power other MEMS devices, are orderly enumerated. Furthermore, as a representative of piezoelectric resonators, Lamb wave resonators are exhibited with manifold performance improvements. Finally, the development trends of wearable and implantable piezoelectric MEMS devices are discussed.