Microspheres, including microcapsules and cells or beads, are widely used to produce many functional products. Information about their mechanical properties is essential to understanding their performance during manufacturing, processing and end-use applications. The mechanical characterization of microspheres requires applying a mechanical load onto single microspheres and measuring the corresponding deformation, and theoretical modelling of the force-deformation relationship, which allows the determination of mechanical property parameters of the materials such as the elastic modulus, yield stress or failure stress/strain. This review presents the techniques developed for the characterization of microspheres, but focus is on the two most common techniques: atomic force microscopy and compression testing by micromanipulation. The merits and limitations of these techniques and their future developments required are discussed along with the four key aspects to mechanically characterize single microspheres: (i) elastic regime, (ii) plasticity, (iii) rupture behaviour and (iv) time-dependent effects, such as viscoelasticity and permeation.