Interest on the control of light at the nano- and microscale has increased in the last years because of the incorporation of nanostructures into optical devices. In particular, semiconductor oxides microstructures emerge as important active materials for waveguiding and confinement of light from UV to NIR wavelengths. The fabrication of high quality and quantity of nano- and microstructures of semiconductor oxides with controllable morphology and tunable optical properties is an attractive challenge in this field. In this work, waveguiding and optical confinement applications of different micro- and nanostructures of gallium oxide and antimony oxide have been investigated. Structures with morphologies such as nanowires, nanorods or branched nanowires as elongated structures, but also triangles, microplates or pyramids have been obtained by a thermal evaporation method. Light waveguide experiments were performed with both oxides, which have wide band gap and a rather high refractive index. The synthesized microstructures have been found to act as optical cavities and resonant modes were observed. In particular, photoluminescence results showed the presence of resonant peaks in the PL spectra of Ga_2O_3 microwires and Sb_2O_3 micro-triangles and rods, which suggest their applications as optical resonators in the visible range.