Semiconductor chaotic lasers have been investigated for physical random bit generation, secure communication, and chaotic detection, owing to its characteristics of randomness, high sensitivity to initial conditions, and broad radio-frequency spectrum. In order to destabilize the semiconductor lasers for chaos generation, external perturbations are usually required, such as optical injection, optical feedback, or optoelectronic feedback. However, semiconductor chaotic laser systems consisting of discrete optical components are susceptible to environmental disturbance. Then, various integrated chaotic semiconductor lasers have been developed to meet the requirement of miniaturization and stability. A deterministic polarization chaos without external perturbation was also reported in Vertical-Cavity Surface-Emitting Laser (VCSELs). Whispering gallery microcavity has become an important optical platform for laser nonlinear researches because of its high quality-factor and small mode volume. Compared with integrated chaos chips and self-chaotic VCSELs, self-chaotic microcavity lasers with the small volume, large chaotic bandwidth and wide chaotic operation condition, require simple process without repeated epitaxy, and are easy to mass production with low cost. In this paper, we review the progress on chaotic microcavity lasers in three aspects: self-chaotic microlasers, chaotic microlasers based on optical feedbak, and integrated mutual-injection microlasers. We also introduce the applications of self-chaotic microcavity lasers.The progresses on the self-chaotic microcavity lasers without external perturbations are first reviewed. A circular-sided hexagonal chaotic microlasers was introduced due to the internal mode interaction of two transverse modes. When the mode interval is below the relaxation oscillation frequency, carrier density can oscillate dramatically with the mode-beating, and an internal optical-injection perturbation is obtained with side-peaks of lasing modes. Consequently, chaotic dynamics could spontaneously generate due to carrier oscillation at mode-beating frequency and the internal injection between the two lasing modes. Compared with hexagonal microcavity, the square microcavity has more obvious in-phase and anti-phase region. The spontaneous chaos is expected to be realized more easily in a square microcavity. Then, a circular-sided square microcavity self-chaotic laser with dual-transverse-mode is introduced. Pulse-packages phenomenon in a microcavity laser, induced by near-degenerate modes beating, was experimentally discovered for the first time. With the continuous increase of the current, the evolution route of period one, period three, and chaos state is first clearly experimentally illustrated in a microcavity laser. The importance of near-degenerate modes for chaos generation is revealed. The working current range of the chaotic state of the circular-sided square microcavity laser is not less than 10 mA, the maximum effective bandwidth is 22.4 GHz, and the flatness is ±4 dB. The performance of the microcavity chaotic laser is greatly improved, and the packaged chaotic lasers for practical applications have become a reality. To enhance the self-chaotic bandwidth of microcavity laser, the method by the on-chip photon-photon resonance effect was proposed. A three transverse-mode microcavity chaotic laser with enhanced chaotic bandwidth was introduced. Through the interaction of three transverse modes, a chaotic bandwidth of 33.9 GHz was obtained.Then, chaos microcavity lasers due to optical feedback are presented for dual-mode and tri-mode microcavity lasers. Two mode and tri-mode feedback are investigated for chaos generation and chaotic bandwidth enhancement. Chaos is easily generated by multi-mode optical feedback. And mode-beating in optical feedback can greatly improve the chaotic bandwidth. And the nonlinear dynamics caused by integrated mutual-injection microdisk and microring lasers are introduced in the third section.Finally, the applications of self-chaotic microcavity lasers are summarized. A physical random bit generator at 10 Gb/s based on the self-chaotic circular-sided hexagonal microcavity laser was first demonstrated. Then, the chaotic output of the three-mode self-chaotic circular-sided square microcavity is used as the entropy source for random number generation. Under the real-time sampling of 100 Gsa/s, the post-processsing methods including delay-difference and retaining five least significant bits are adopted. Physical random numbers at 500 Gb/s that pass the NIST SP 800-22 standard randomness tests are obtained. In addition, based on a microcavity chaotic laser with a double-peak structure in the temporal intensity distribution of chaotic signals, 400 Gb/s physical random numbers are realized by only retaining four least significant bits with 100 Gsa/s real-time sample. We also achieve 50 Gb/s physical random bits by directly extracting the chaotic microwave signal from the P-electrode of the deformed square self-chaotic microlaser. In addition, a chaotic correlation optical time-domain reflectometer is constructed based on a fabricated self-chaotic microcavity laser, in which a fiber detection distance of 25 km and a spatial resolution of 4.5 mm are demonstrated.The self-chaotic microcavity lasers pave the way of mode engineering for deformed microcavity lasers. A random number generator based on the self-chaos deformed square laser can simplify the system greatly due to a small footprint and low power consumption for the chaotic microlasers. Moreover, self-chaotic lasers have potential applications in secure communication, chaos radar, etc.