Hydrogels are biocompatible materials commonly used in biological applications, such as cell encapsulation, tissue engineering and drug delivery systems. The use of hydrogels in the form of microparticles brings, for several purposes, many advantages, since the particles have a high surface-to-volume ratio and they can be delivered inside microscale structures such as blood microvessels and tissues. Microfluidic devices are a promising approach to produce hydrogel microparticles because they enable a high precision control of the flow streams during the microfabrication process, leading to microparticles with precise size, shape, mechanical properties and cross-linking density. In this review, the focus is put on the most important features to be considered when producing hydrogel microparticles through microfluidic devices. First, the design strategies of microfluidic devices, the selection of the operating conditions and the importance of surfactants are analyzed. Then, the most important gelation mechanisms are reviewed. Afterwards, the most commonly used hydrogel materials are introduced, and their properties are referred. Finally, the different methods to control the size, shape and particle microstructure are discussed and the main challenges for the future are addressed.