In this work, we propose a new subclass of extreme-mass-ratio-inspirals (EMRIs): mass-gap EMRIs, consisting of a compact object in the lower mass gap $\sim (2.5-5) M_\odot$ and a massive black hole (MBH). The mass-gap object (MGO) may be a primordial black hole or produced from a delayed supernova explosion. We calculate the formation rate of mass-gap EMRIs in both the (dry) loss-cone channel and the (wet) active galactic nucleus disk channel by solving Fokker-Planck-type equations for the phase-space distribution. In the dry channel, the mass-gap EMRI rate is strongly suppressed compared to the EMRI rate of stellar-mass black holes (sBHs) as a result of mass segregation effect. In the wet channel, the suppression is roughly equal to the mass ratio of sBHs over MGOs, because the migration speed of a compact object in an active galactic nucleus disk is proportional to its mass. We find that the wet channel is much more promising to produce mass-gap EMRIs observable by spaceborne gravitation wave detectors. (Non-)detection of mass-gap EMRIs may be used to distinguish different supernova explosion mechanisms and constrainthe abundance of primordial black holes around MBHs.