Transdermal microneedle (MN) patches are a promising tool used to transport a wide variety of active compounds into the skin. To serve as a substitute for common hypodermic needles, MNs must pierce the human stratum corneum (~ 10 to 20 µm), without rupturing or bending during penetration. This ensures that the cargo is released at the predetermined place and time. Therefore, the ability of MN patches to sufficiently pierce the skin is a crucial requirement. In the current review, the pain signal and its management during application of MNs and typical hypodermic needles are presented and compared. This is followed by a discussion on mechanical analysis and skin models used for insertion tests before application to clinical practice. Factors that affect insertion (e.g., geometry, material composition and cross-linking of MNs), along with recent advancements in developed strategies (e.g., insertion responsive patches and 3D printed biomimetic MNs using two-photon lithography) to improve the skin penetration are highlighted to provide a backdrop for future research.