Micro-structured coatings with functional properties have been investigated due to a wide range of applications. It is known that micro-structures can play an important role in surface interactions determining the materials’ performance. Amongst the other materials, there has been an increasing interest in tantalum oxide (Ta2O5). This attention is mainly due to its variety of properties: biocompatibility and bioactivity; high dielectric constant; good thermal and chemical stability; excellent corrosion and mechanical resistance. Moreover, there is a wide range of applications in which the properties can be fitted. Furthermore, according to the final application, these properties can be enhanced or tailored through surface micro-structures manipulation. Due to this purpose, over the past decade, Ta surface modification by micro-arc oxidation (MAO) has been investigated mostly for biomedical applications. Therefore, this review focuses on Ta surface functionalization using the MAO technique. A clear understanding of the micro-discharge phenomena and the formation mechanism of a Ta2O5 anodic coating by MAO is supplied. The Ta2O5 coating morphology, topography, chemistry, and structure are explored, establishing their correlation with the MAO parameters. Additionally, an understanding of Ta2O5’s biological, mechanical, and electrochemical properties is provided and reviewed.