Self-assembly of colloids provides a powerful way for the construction of complex multi-scale materials. Microfluidic techniques possess great potential to precisely control the assembly of micro- and nano-scale building blocks via the rational design of various microfluidic environments. In this review, we first discuss the self-assembly of colloids without templates by using the laminar microfluidic technique. The self-assembly of colloids based on a droplet as a template was subsequently summarized and discussed via droplet microfluidic technique. Moreover, the evaporation-driven self-assembly of colloids in microfluidic channels has been discussed and analysed. Finally, the representative applications in this field have been pointed out. The aim of this review is to summarize the state-of-art on the self-assembly of colloids based on various microfluidic techniques, exhibit their representative applications, and point out the current challenges in this field, hoping to inspire and guide future work.