Scanning probe microscopy and optics are the workhorses in various research fields including condensed matter physics and surface science. In this talk, I will introduce you our research effort to combine the two powerful, yet complementary, experimental tools. First, by showing you a few examples that use the two tools respectively, I will tell you, and hopefully convince you the necessity and importance to develop photo-assisted scanning probe microscopy. Then I will present several approaches that I have been worked in the past and under development at the present. These include: 1) Atomic-scale excitation of radiative transitions; 2) Atomic-scale visualization of photo-induced processes; 3) Tip-enhanced optical microscopy and spectroscopy. At the end, I will discuss some problems that we are interested to study by applying this unique tool.