Here we review recent progress in cooling micro-/nanoelectronic devices significantly below 10 mK. A number of groups worldwide are working to produce sub-millikelvin on-chip electron temperatures, motivated by the possibility of observing new physical effects and improving the performance of quantum technologies, sensors and metrological standards. The challenge is a longstanding one, with the lowest reported on-chip electron temperature having remained around 4 mK for more than 15 years. This is despite the fact that microkelvin temperatures have been accessible in bulk materials since the mid-twentieth century. In this review, we describe progress made in the last 5 years using new cooling techniques. Developments have been driven by improvements in the understanding of nanoscale physics, material properties and heat flow in electronic devices at ultralow temperatures and have involved collaboration between universities and institutes, physicists and engineers. We hope that this review will serve as a summary of the current state of the art and provide a roadmap for future developments. We focus on techniques that have shown, in experiment, the potential to reach sub-millikelvin electron temperatures. In particular, we focus on on-chip demagnetisation refrigeration. Multiple groups have used this technique to reach temperatures around 1 mK, with a current lowest temperature below 0.5 mK.