MXenes have emerged as promising materials for various mechanical applications due to their outstanding physicochemical merits, multilayered structures, excellent strength, flexibility, and electrical conductivity. Despite the substantial progress achieved in the rational design of MXenes nanostructures, the tutorial reviews on the mechanical properties of self-standing MXenes were not yet reported to our knowledge. Thus, it is essential to provide timely updates of the mechanical properties of MXenes, due to the explosion of publications in this filed. In pursuit of this aim, this review is dedicated to highlighting the recent advances in the rational design of self-standing MXene with unique mechanical properties for various applications. This includes elastic properties, ideal strengths, bending rigidity, adhesion, and sliding resistance theoretically as well as experimentally supported with various representative paradigms. Meanwhile, the mechanical properties of self-standing MXenes were compared with hybrid MXenes and various 2D materials. Then, the utilization of MXenes as supercapacitors for energy storage is also discussed. This review can provide a roadmap for the scientists to tailor the mechanical properties of MXene-based materials for the new generations of energy and sensor devices.