Encapsulating biological and non-biological materials in lipid vesicles presents significant potential in both industrial and academic settings. When smaller than 100 nm, lipid vesicles and lipid nanoparticles are ideal vehicles for drug delivery, facilitating the delivery of payloads, improving pharmacokinetics, and reducing the off-target effects of therapeutics. When larger than 1 μm, vesicles are useful as model membranes for biophysical studies, as synthetic cell chassis, as bio-inspired supramolecular devices, and as the basis of protocells to explore the origin of life. As applications of lipid vesicles gain prominence in the fields of nanomedicine, biotechnology, and synthetic biology, there is a demand for advanced technologies for their controlled construction, with microfluidic methods at the forefront of these developments. Compared to conventional bulk methods, emerging microfluidic methods offer advantages such as precise size control, increased production throughput, high encapsulation efficiency, user-defined membrane properties (i.e., lipid composition, vesicular architecture, compartmentalisation, membrane asymmetry, etc.), and potential integration with lab-on-chip manipulation and analysis modules. We provide a review of microfluidic lipid vesicle generation technologies, focusing on recent advances and state-of-the-art techniques. Principal technologies are described, and key research milestones are highlighted. The advantages and limitations of each approach are evaluated, and challenges and opportunities for microfluidic engineering of lipid vesicles to underpin a new generation of therapeutics, vaccines, sensors, and bio-inspired technologies are presented.