The advance of micro/nanotechnology in energy-harvesting, micropower, electronic devices, and transducers for automobile and aerospace applications has led to the need for accurate thermomechanical characterization of micro/nano-scale materials to ensure their reliability and performance. This persistent need has driven various efforts to develop innovative experimental techniques that overcome the critical challenges associated with precise mechanical and thermal control of micro/nano-scale specimens during material characterization. Here we review recent progress in the development of thermomechanical testing methods from miniaturized versions of conventional macroscopic test systems to the current state of the art of in situ uniaxial testing capabilities in electron microscopes utilizing either indentation-based microcompression or integrated microsystems. We discuss the major advantages/disadvantages of these methods with respect to specimen size, range of temperature control, ease of experimentation and resolution of the measurements. We also identify key challenges in each method. Finally, we summarize some of the important discoveries that have been made using in situ thermomechanical testing and the exciting research opportunities still to come in micro/nano-scale materials.