Microneedles (MNs) are micro-scale needles used for drug delivery and other targets. Micro-scale size endows them with many advantages over hypodermic needles, including painlessness, minimal invasiveness and convenient operation, but it may also lead to risk of mechanical failures, which should be prevented in the clinical applications of MNs. The objective of this review is mainly to introduce studies on the mechanics problems with respect to MNs. Firstly, the basic knowledge of MNs is introduced in brief, so that readers can understand the basic characteristics of MNs. Secondly, researches on inserting behavior and mechanical performances of MNs are discussed. Thirdly, literatures on the drug delivery and the pain resulted from the insertion of MNs are overviewed. Finally, some bio-microneedles and bio-inspired MNs are introduced.