Ceramic fiber has the advantages of low density, high strength, high temperature resistance and good mechanical vibration resistance. It is the critical high temperature thermal insulation materials especially in thermal protection fields such as aerospace vehicles, nuclear power plants and chemo-metallurgical industry, etc. The traditional ceramic fiber with large diameter (> 5 μm), high brittleness and high thermal conductivity has been greatly restricted in high temperature thermal insulation fields. In recent years, more and more attention has been paid to the preparation of micro-nano ceramic fibers by decreasing the diameter of fiber, which is not only beneficial to improve the mechanical properties of the fibers, but also to enhance their high temperature thermal insulation properties. Further, by finely regulating the composition and structure of the micro-nano ceramic fibers that intrinsically affecting the heat transfer (heat conduction of gas, heat conduction of solid and radiative heat transfer) mechanism in micro-nano ceramic fibers, the high temperature thermal insulation performance can be effectively improved, which is the current focus of the micro-nano ceramic fibers in high temperature thermal insulation fields. The thermal insulation mechanism of the micro-nano ceramic fibers was firstly introduced. Then, based on the research at home and abroad, this review divides the current micro-nano ceramic fibers into three categories according to the difference of their composition and structure, namely fibers aerogels, hollow/porous fibers and composite fibers. The latest research progress on composition and structure optimization of micro-nano ceramic fibers for high temperature thermal insulation is reviewed, and the future development tendency is prospected.