Micro-thermoelectric generator (TEG) possesses a great potential for powering wireless Internet of Things (IoT) sensing systems due to its capability of harvesting thermal energy into usable electricity. Herein, this work reviews the progress in recent studies on the micro-TEG, including material synthesis, device fabrication, and application demonstration. Thermoelectric materials are synthesized by the electrochemical deposition method. Three kinds of high-performance thermoelectric materials, including thick bulk-like thermoelectric material, Pt nanoparticles embedded in a thermoelectric material, and Ni-doped thermoelectric material, are presented. Besides the material synthesis, novel fabrication methods for micro-TEG can also help increase its output power and power density significantly. Two fabrication processes, micro/nano fabrication technology and assembly technology, are investigated to produce high-performance micro-TEG. Moreover, the fabircated micro-TEG as a power source for portable and wearable electronic devices has been demonstrated successfully.