Based on the novel macro-thermophysical properties exhibited by its peculiarly artificially design structure, thermal metamaterials have been widely used in the harvest and management of thermal energy. Herein, a facile micro-scale thermal functional unit structure is proposed assisted by an advanced picosecond laser technology to realize the fabrication of thermal metamaterials with thermal shielding and thermal concentrating. To obtain the optimal design criterion of thermal functional units, the effects of thermal conductivity ratio, layer orientation angle, and laminated thickness on thermal conduction are investigated. Both simulation and experiment validate that thermal metamaterials assembled by diverse thermal functional units with different orientation angles exhibit completely neoteric performances of thermal concentrating and shielding. Besides, the results verify that the micro-scale thermal metamaterials exhibit better heat flux regulation capability and higher thermal concentration efficiency. Additionally, the effect of inevitable air convection on the thermal performance of these metamaterials has also been evaluated. This work provides an effective strategy to achieve small-scale thermal energy harvesting and protection by using thermal metamaterials with micro-structure.