Miniature soft robots are mobile devices, which are made of smart materials that can be actuated by external stimuli to realize their desired functionalities. Here, the key advancements and challenges of the locomotion producible by miniature soft robots in micro‐ to centimeter length scales are highlighted. It is highly desirable to endow these small machines with dexterous locomotive gaits as it enables them to easily access highly confined and enclosed spaces via a noninvasive manner. If miniature soft robots are able to capitalize this unique ability, they will have the potential to transform a vast range of applications, including but not limited to, minimally invasive medical treatments, lab‐on‐chip applications, and search‐and‐rescue missions. The gaits of miniature soft robots are categorized into terrestrial, aquatic, and aerial locomotion. Except for the centimeter‐scale robots that can perform aerial locomotion, the discussions in this report are centered around soft robots that are in the micro‐ to millimeter length scales. Under each category of locomotion, prospective methods and strategies that can improve their gait performances are also discussed. This report provides critical analyses and discussions that can inspire future strategies to make miniature soft robots significantly more agile. Miniature soft robots are made of smart materials that can be actuated by external stimuli to realize their desired functionalities. Critical analyses and discussions on the locomotion producible by soft robots in micro‐ to centimeter length scales are provided, with the aim of inspiring future development of miniature soft robots that can be significantly more dexterous and robust.