Shape memory polymers (SMPs) are macromolecules in which linear chains and crosslinking points play a key role in providing a shape memory effect. As smart polymers, SMPs have the ability to change shape, stiffness, size, and structure when exposed to external stimuli, leading to potential uses for SMPs throughout our daily lives in a diverse range of areas including the aerospace and automotive industries, robotics, biomedical engineering, smart textiles, and tactile devices. SMPs can be fabricated in many forms and sizes from the nanoscale to the macroscale, including nanofibers, nanoparticles, thin films, microfoams, and bulk devices. The introduction of nanostructure into SMPs can result in enhanced mechanical properties, unique structural color, specific surface area, and multiple functions. It is necessary to enhance the current understanding of the various nano/microstructures of SMPs and their fabrication, and to find suitable approaches for constructing SMP-based nano/microstructures for different applications. In this review, we summarize the current state of different SMP nano/microstructures, fabrication techniques, and applications, and give suggestions for their future development.