With the increasing global concerns about the impacts of byproducts from the combustion of fossil fuels, researchers have made significant progress in seeking alternative fuels that have cleaner combustion characteristics. Such fuels are most suitable for addressing the increasing demands on combustion-based micro power generation systems due to their prominently higher energy density as compared to other energy resources such as batteries. This cultivates a great opportunity to develop portable power devices, which can be utilized in unmanned aerial vehicles (UAVs), micro satellite thrusters or micro chemical reactors and sensors. However, combustion at small scales—whether premixed or non-premixed (diffusion)—has its own challenges as the interplay of various physical phenomena needs to be understood comprehensively. This paper reviews the scientific progress that researchers have made over the past couple of decades for the numerical investigations of diffusion flames at micro scales. Specifically, the objective of this review is to provide insights on different numerical approaches in analyzing diffusion combustion at micro scales, where the importance of operating conditions, critical parameters and the conjugate heat transfer/heat re-circulation have been extensively analyzed. Comparing simulation results with experimental data, numerical approaches have been shown to perform differently in different conditions and careful consideration should be given to the selection of the numerical models depending on the specifics of the cases that are being modeled. Varying different parameters such as fuel type and mixture, inlet velocity, wall conductivity, and so forth, researchers have shown that at micro scales, diffusion combustion characteristics and flame dynamics are critically sensitive to the operating conditions, that is, it is possible to alter the flammability limits, control the flame stability/instability or change other flame characteristics such as flame shape and height, flame temperature, and so forth.