With the fast development of optoelectronic technologies, the demands of flexible, thin and nonplanar optoelectronic devices are rising. Advanced multi-functional fibers based on the preform-to-fiber thermal drawing method provide a promising solution for the next generation optoelectronic devices for waveguides, sensing, and energy harvesting systems. By involving diverse materials such as semiconductors, conductors, and insulators into the fiber fabrication, the achieved advanced fibers can be introduced with a variety of precise structures in the right scales and operated with many optoelectronic functionalities, which creates the possibilities for developing novel optoelectronic devices such as smart fabrics, e-skins, and flexible textiles. Recently, several notable progresses and breakthroughs on promoting the multi-material optoelectronic fibers have been achieved, enabling fiber devices with multiple functionalities and engaging impactful applications. Here, fundamentals of the fiber drawing process, basic principles of fiber materials science, the development of advanced optoelectronic fibers, and milestone applications are summarized and discussed. Moreover, the challenges, prospects, and promising opportunities for future multi-material optoelectronic fibers are also presented.