Despite the significant contribution of gastrointestinal diseases to the global disease burden and the increasing recognition of the role played by the intestinal microbiota in human health and disease states, conventional methods of exploring and collecting samples from the gastrointestinal tract remain invasive, resource intensive, and often unable to capture all the information contained in these heterogeneous samples. A new class of gastrointestinal sampling capsules is emerging in the literature, which contains the components required for an autonomous intra-luminal device and preserves the spatial and temporal information of the gastrointestinal samples. In this paper, we identify the primary design requirements for gastrointestinal sampling capsules, and we review the state-of-the-art for different components and functionalities. We also suggest two design concepts, and we highlight future directions for this class of biomedical devices.