The cavity microelectrodes (CMEs) have been introduced in the 1990s and since then have been employed for the characterization of various types of materials ranging from materials used for energy storage, biological applications, catalysis characterization, or corrosion studies. This technique takes advantage of working on small amount of pure electroactive materials (few hundreds nanograms) using usual electrochemical techniques (cyclic voltammetry, electrochemical impedance spectroscopy, etc.) and allows a rapid screening of the electrochemical behavior of new materials. The CME development and its main applications for the electrochemistry of powder materials are reviewed and discussed.