Recent advances in monolithically integrated multi-section semiconductor lasers (MI-MSSLs) have propelled microwave photonic technologies to new potentials with a compact, reliable, and green implementation. Much research has examined that MI-MSSLs can realize the same or even better microwave photonic functions compared to discrete lasers by taking advantages of enhanced light–matter interactions. They are beneficial towards the future of integrated microwave photonics (IMWP) once integrating the other optical components such as modulators, amplifiers, transmission waveguide and so on. Herein, these recent advances in this emerging field are reviewed and discussed. Three main kinds of MI-MSSL structures are demonstrated including passive feedback laser, active feedback laser, as well as monolithically integrated mutually injected semiconductor laser. Their pros and cons are distinguished and compared through analyzing the desired characteristic indicators in modern MWP subsystems. The focus of this paper is on the photonic microwave techniques based on the nonlinear dynamics of MI-MSSLs, consisting of electro-optic conversion characteristics enhancement, photonic microwave generation, microwave photonic filter, as well as multiwavelength laser array for wavelength division multiplexing radio-over-fiber (WDM-RoF) networks. We also take a look at the future prospective at the research directions and challenges in this area.