The high-throughput preparation of material library can quickly obtain a large number of samples with quasi-continuous or gradient change of composition by parallel synthesis strategy, and screen the target materials with the best composition and performance. The traditional “trial and error” mode has been transformed into a new mode of system optimization in materials exploration. At the same time, high-throughput preparation experiments can complement virtual experiments such as material computing and machine learning to verify the calculation results, and provide an abundant experimental database for data mining and application. This paper reviews the parallel synthesis methods of micro-nano powder and their progress, which provide new ideas and efficient synthesis routes for the functional materials scientists to accelerate the experimental process. The mentioned high-throughput experimental methods have been applied to the rapid discovery, optimization and performance improvement of new materials, such as catalysts, phosphors, infrared irradiative materials, and so on, which is expected to expand the application area and scale, highlighting its advancement and value.