New energetic materials (EMs) are the key to great advances in microscale energy-demanding systems as actuation part, igniter, propulsion unit, and power. Nanoscale EMs (nEMs) particularly offer the promise of much higher energy densities, faster rate of energy release, greater stability, and more security (sensitivity to unwanted initiation). nEMs could therefore give response to microenergetics challenges. This paper provides a comprehensive review of current research activities in nEMs for microenergetics application. While thermodynamic calculations of flame temperature and reaction enthalpies are tools to choose desirable EMs, they are not sufficient for the choice of good material for microscale application where thermal losses are very penalizing. A strategy to select nEM is therefore proposed based on an analysis of the material diffusivity and heat of reaction. Finally, after a description of the different nEMs synthesis approaches, some guidelines for future investigations are provided.