Microglia are resident macrophage cells in the central nervous system that search for pathogens or abnormal neural activities and migrate to resolve the issues. The effective search and targeted motion of macrophages mean dearly to maintaining a healthy brain, yet little is known about their migration dynamics. In this work, we study microglial motion with and without the presence of external mechanostimuli. We discover that the cells are promptly attracted by the applied forces (i.e., mechanotaxis), which is a tactic behavior as yet unconfirmed in microglia. Meanwhile, in both the explorative and the targeted migration, microglia display dynamics that is strikingly analogous to bacterial run-and-tumble motion. A closer examination reveals that microglial run-and-tumble is more sophisticated, e.g., they display a short-term memory when tumbling and rely on active steering during runs to achieve mechanotaxis, probably via the responses of mechanosensitive ion channels. These differences reflect the sharp contrast between microglia and bacteria cells (eukaryotes vs. prokaryotes) and their environments (compact tissue vs. fluid). Further analyses suggest that the reported migration dynamics has an optimal search efficiency and is shared among a subset of immune cells (human monocyte and macrophage). This work reveals a fruitful analogy between the locomotion of 2 remote systems and provides a framework for studying immune cells exploring complex environments.