Optical microcavities can trap light within both spatial and temporal dimensions, giving rise to an enhancement of light-matter interaction, which are employed extensively for fundamental studies of optical physics and photonic applications. In particular, because of its ultrahigh- Q factors and small mode volumes, optical whispering-gallery-mode (WGM) microcavities, confining light by total internal reflection, act as the frontier of the state-of-art microcavity studies. As the recent significant development of the micro-/nano-fabrication technology for semiconductor chips and optical materials, on-chip integration becomes one of the most important trends for WGM microcavities. For example, on-chip optical microcavities have been playing a pivotal role in diverse fields, including photonic chip, broadband integrated optical computing, on-chip optical interconnects, microcomb-based precise measurement, etc. In this review, we introduce the research advances of microlasers, nonlinear optics, photonic integrated circuits, and ultrasensitive optical sensing in ultrahigh- Q on-chip microcavities. The specific progresses are organized as follows: (1) Ultralow-threshold lasing in on-chip WGM microcavity can be achieved by either introducing active materials to the resonator or using intrinsic nonlinearities of the resonator material. Moreover, diverse functional microlasers are also realized, such as unidirectional emission, chaotic laser, symmetry-broken laser, orbit angular momentum laser, parity-time reversal symmetry laser, etc. (2) Numerous optical nonlinear effects with high efficiency have been experimentally generated in WGM microcavities, including second harmonic generation, four-wave mixing, stimulated Brillouin scattering, stimulated Raman scattering. Furthermore, high-performance and multifunctional photonic applications have been developed based on microcavity-engineered nonlinear optics. In particular, optical frequency combs based on Kerr nonlinear effects in WGM microcavities, are applied extensively for integrated precision measurement applications like ultrafast LiDAR, optical clocks, and astronomical spectrum calibration. (3) As one of the most important elements in photonic integrated circuit, the optical microcavity has been widely used in the realization of photonic functional devices, such as signal sources, storage, filter, isolator, and modulator. Moreover, it also has been applied to broadband coupling between individual photonic devices. (4) WGM microcavity sensing attracts much attention due to ultra-high sensitivity and label-free nature. The last decade has witnessed the tremendous progress of on-chip microcavity sensing, and the sensing ability has been widely exploited for detecting single nanoparticles, biological molecules, magnetic fields, angular velocity, temperature, etc. Finally, we provide an outlook on the future developments of on-chip ultrahigh- Q microcavity photonics. While numerous progresses have been achieved in ultrahigh- Q on-chip microcavities, a few challenges and obstacles still exist in practical applications. For example, the optical soliton microcombs suffer from the low conversion efficiency and limited wavelength bandwidth; the bandwidth of the optical isolator by the optical microcavities is narrow; the electro-optic modulator based on microcavities cannot combine the broad modulation bandwidth and low power consumption; it is highly challenging for the specific identification in microcavity biosensing. In order to further push forward the development of on-chip microcavity photonics, new principles, new mechanisms, and new materials are required to be explored. The considerable solution may focus on the non-trivial interaction in complex systems, such as hybrid microcavity structures, regulation of optical field by multiple nonlinear optical effects, optical wave chaos in asymmetric microcavities, non-Hermitian physics, and topological photonics.