The design of periodic microstructural composite materials to achieve specific properties has been a major area of interest in material research. Tailoring different physical properties by modifying the microstructural architecture in unit cells is one of the main concerns in exploring and developing novel multi-functional cellular composites and has led to the development of a large variety of mathematical models, theories and methodologies for improving the performance of such materials. This paper provides a critical review on the state-of-the-art advances in the design of periodic microstructures of multi-functional materials for a range of physical properties, such as elastic stiffness, Poisson's ratio, thermal expansion coefficient, conductivity, fluidic permeability, particle diffusivity, electrical permittivity and magnetic permeability, etc.