Fundamental research and continued miniaturization of materials, components and systems have raised the need for the development of thermal-investigation methods enabling ultra-local measurements of surface temperature and thermo-physical properties in many areas of science and applicative fields. Scanning thermal microscopy (SThM) is a promising technique for nanometer-scale thermal measurements, imaging, and study of thermal transport phenomena. This review focuses on fundamentals and applications of SThM methods. It inventories the main scanning probe microscopy-based techniques developed for thermal imaging with nanoscale spatial resolution. It describes the approaches currently used to calibrate the SThM probes in thermometry and for thermal conductivity measurement. In many cases, the link between the nominal measured signal and the investigated parameter is not straightforward due to the complexity of the micro/nanoscale interaction between the probe and the sample. Special attention is given to this interaction that conditions the tip–sample interface temperature. Examples of applications of SThM are presented, which include the characterization of operating devices, the measurements of the effective thermal conductivity of nanomaterials and local phase transition temperatures. Finally, future challenges and opportunities for SThM are discussed.