The functional devices based on the microstructured optical fiber infiltrated with liquids effectively combine the micro/nano structure with the physical effect of materials under different external fields. They provide a promising platform for novel photonic devices with the advantages of tunability, flexibility in design, all-in-fiber structure and integration. In this paper, the recent research statue of the liquid-filling microstructured optical fiber devices, such as optical switches/attenuators, filters, modulators and dispersion compensators, as well as optical fiber sensors, is reviewed. At the same time, the variety and physical characteristics of functional materials and the filling methods, which are the focus for future research in this area, are analysed. Finally, some prospects are given for the reference and research in the future.