Observations of the microscopic dynamics of biological systems and the ultrafast behavior of particles in materials science can help us understand the ultrafast response of biological systems and materials in a deeper and more microscopic way. The pump-probe microscope is a new characterization method combing the pump-probe technology and microscopic imaging. By selecting different detection modes，the micro-mechanisms of different systems can be explored and characterized. In this review，the principle of pump-probe technology is first introduced. Then three major nonlinear principle in pump-probe process （excited-state absorption，stimulated emission and ground-state depletion）， the construction of pump-probe microscope，and the current developments and applications of pump-probe microscopy in biomedicine and materials science are discussed.