Micro-supercapacitors (MSCs) with thick interdigital microelectrodes of carbon-based materials exhibit excellent electrochemical performance and hold tremendous promise for applications in microscale energy storage devices. Here, a scalable strategy to fabricate thick embedded multiwalled carbon nanotubes (MWCNTs) as interdigital microelectrodes for MSCs has been developed and investigated. To this end, sufficient MWNCT inks are firstly cast onto pre-patterned microcavity surfaces and then more MWCNT materials are embedded into the microcavities by rapid solvent evaporation. After removal of residual materials from the surfaces by a doctor-blading process, thick interdigital MWCNT microelectrodes with heights up to 190 μm are obtained. These embedded microelectrodes simplify the device structure and improve the mechanical flexibility by acting as both active materials and current collectors. Using interdigital microelectrodes with a width of 250 μm and an interspace of 50 μm, the fabricated MSCs exhibit outstanding electrochemical performance with a high capacitance of 19.5 mF cm−2 and an energy density of 2.48 μW h cm−2 at a power density of 24.7 μW cm−2. On the other hand, four light emitting diodes (LEDs) are successfully powered by three series of MSCs, indicating that MSCs can be connected in series and parallel to yield suitable operating voltages and currents for practical applications.