Nanoindentation is the leading technique for evaluating nanoscale mechanical properties of materials. Consistent developments in instrumentation and their capabilities are transforming nanoindentation into a powerful tool for characterization of multifunctionality at the nanoscale. This review outlines the integration of nanoindentation with real-time electron imaging, high temperature measurements, electrical characterization, and a combination of these. In situ nanoindentation measurements have enabled the real-time study of the interplay between mechanical, thermal, and electrical effects at the nanoscale. This review identifies previous reviews in this area, traces developments and pinpoints significant recent advances (post-2007), with emphasis on the applications of in situ nanoindentation techniques to materials systems, and highlighting the new insights gained from these in situ techniques. Based on this review, future directions and applications of in situ nanoindentation are identified, which highlight the potential of this suite of techniques for materials scientists from all disciplines.