In the past years, metal halide perovskite (MHP) single crystals have become promising candidates for optoelectronic devices since they possess better optical and charge transport properties than their polycrystalline counterparts. Despite these advantages, traditional bulk growth methods do not lend MHP single crystals to device integration as readily as their polycrystalline analogues. Perovskite nanocrystals (NCs), nanometer-scale perovskite single crystals capped with surfactant molecules and dispersed in non-polar solution, are widely investigated in solar cells and light-emitting diodes (LEDs), because of the direct bandgap, tunable bandgaps, long charge diffusion length, and high carrier mobility, as well as solution-processed film fabrication and convenient substrate integration. In this review, we summarize recent developments in the optoelectronic application of perovskite nanocrystal, including solar cells, LEDs, and lasers. We highlight strategies for optimizing the device performance. This review aims to guide the future design of perovskite nanocrystals for various optoelectronic applications.