Supercritical CO2 fluid has been widely used in chemical extraction, chemical synthesis, micro-manufacturing, and heat transfer apparatus, and so forth. The current chapter deals with near-critical CO2 micro-scale thermal convective flow and the effects of thermal-mechanical process. When the scale becomes smaller, new, and detailed figures of near-critical thermal effects emerges. To explore this new area, theoretical developments and numerical investigations are discussed and explained in this chapter. From a theoretical point of view, the thermal-mechanical nature of near-critical fluid would play a leading role in small time and spatial scales. This effect is found dominant to the thermal dynamic responses and convective structures of micro-scale fluid behaviors. The scaling effects, boundary thermal-mechanical process, instability evolutions, mixing flows and characteristics, possible extensions, and applications are also discussed in this chapter.