A significant progress in studies of electrochemical processes occurring at the interface between two immiscible electrolyte solutions (ITIES) over the last decade is due to the development of a number of new spectroscopic and electrochemical techniques. This review is focused on microelectrochemical approaches to probing charge transfer processes and coupled homogeneous chemical reactions at the ITIES. Both theoretical and experimental aspects of electrochemical experiments with the two most important types of the micro‐ITIES, i.e., micropipettes and microholes, will be considered along with the more recently introduced θ‐pipettes and nanopipette electrodes. The surveyed applications include kinetic studies of ion and electron transfers, sensors, and electrochemical imaging.