Excited-state dynamics provides an intrinsic molecular contrast in the examination of samples. With its excellent spatial–temporal resolution, superior detection sensitivity, and chemical specificity, pump–probe microscopy has become a powerful technique for monitoring these dynamics in nonfluorescent chromophores and nanomaterials. In this paper, we aim to provide a detailed discussion on their background, working mechanisms, and experimental setups, as well as investigating the advantages of pump–probe micro-spectroscopy. We explore carrier dynamics in prevailing two-dimensional materials such as TMDCs, graphene, black phosphorus, perovskite materials, and various heterostructures, in the context of pump-probe micro-spectroscopy. This review may help elucidate the basic characteristics of carrier excitation dynamics in 2D materials, and contribute to the design and optimization of related optoelectronic devices.