This paper presents a comprehensive review on the development of higher-order continuum models for capturing size effects in small-scale structures. The review is mainly focused on the size-dependent beam, plate and shell models developed based on the nonlocal elasticity theory, modified couple stress theory and strain gradient theory due to their common use in predicting the global behaviour of small-scale structures. In each higher-order continuum theory, various size-dependent models based on the classical theory, first-order shear deformation theory and higher-order shear deformation theory were reviewed and discussed. In addition, the development of finite element solutions for size-dependent analysis of beams and plates was also highlighted. Finally a summary and recommendations for future research are presented. It is hoped that this review paper will provide current knowledge on the development of higher-order continuum models and inspire further applications of these models in predicting the behaviour of micro- and nano-structures.