Twenty one years ago, the discovery of the giant magnetocaloric effect (GMCE) at room temperature completely revolutionized the magnetocaloric materials field demonstrating the potential of magnetic refrigeration at room temperature and setting the beginning of a race for the best magnetocaloric material. Since then, hundreds of different bulk magnetic materials were studied in detail; however, only a small set of these exhibit GMCE. In the last ten years, the broad interest on these materials leads to the extension of their study to the micro- and nanoscale. In this review, we highlight the main motivations for exploring the size-reduction both from the technological and the purely scientific point of view and stress the general consequences on the magnetic and magnetocaloric properties. The emergence of different underlying mechanisms driving these effects will be identified with particular emphasis for the set of materials presenting GMCE.