Online enzyme assay based on capillary electrophoresis (CE) offers several advantages for the assay, such as low consumption of samples, easy automation of all steps, and less requirement of sample work-up. As a widely used approach for online enzyme assay, CE-integrated immobilized enzyme microreactor (IMER) has been applied in almost all aspects of enzyme assays during the past two decades, including evaluation of the enzymatic activity and kinetics, screening of inhibitor, investigation of enzyme-mediated metabolic pathways, and proteome analysis. In a CE-integrated IMER, enzyme is bound to the capillary surface or a suitable carrier attached to the capillary and substrates/products of the enzymatic reaction are separated and online detected by CE at downstream of the capillary. Enzymatic reactions can be viewed as interaction between the stationary phase (immobilized enzyme) and the mobile phase (substrate(s)/co-enzyme(s) solution), in analogy to the well-known separation technique, capillary electrochromatography. From this point of view, CE-integrated IMERs can be categorized into open tubular capillary IMER, monolithic IMER, and packed capillary IMER. In this review, we have surveyed, analyzed, and discussed advances on fabrication techniques of the three categories of CE-integrated IMERs for online assays involving various enzymes in the past two decades (1992–2015). Some recent studies using microfluidic-based IMERs for enzyme assays have also been reviewed.