Microdialysis (MD) has become one of the major tools to sample endogenous and exogenous substances in extracellular spaces. It is more suitable for pharmacokinetic-pharmacodynamic (PK-PD) studies than other techniques. This review aims to give an overview of MID for PK-PD (MD/PK-PD) studies, including PK-PD studies, three aspects (principles, recovery, advantages) of MD/PK-PD, and application examples of MD/PK-PD organized by types of drugs and information collected. It can be concluded that MID offers an unique opportunity, to study simultaneously pharmacokinetic (PK) behavior of a drug and its effect on the extracellular levels of endogenous compounds, which may facilitate proof-of-concept demonstrations for target modulation, enhance the rational selection of an optimal drug dose and schedule. In addition, MD/PK-PD can also minimize uncertainties associated with predicting drug safety and efficacy, reduce the high levels of drug attrition during development, accelerate drug approval, and decrease the overall costs of drug development.