Self-folding enables the fabrication of sophisticated shapes from planar materials without manual assembly. This capability is valuable at millimeter scales, where traditional manufacturing is difficult and expensive, and MEMS techniques are not well-suited to 3-D features with high aspect ratios. Automating the assembly process through self-folding also has the potential to speed up the manufacturing time and reduce labor costs. However, existing self-folding techniques are not capable of complex geometries at the millimeter scale. In this paper we present a self-folding composite that is capable of complex sub-centimeter structures and mechanisms. The self-folding pattern is mechanically programmed into the composite during fabrication, and folding is activated by heating the composite. We show that this technique is capable of feature sizes ranging from 1 to 20 mm, and can create both shapes and mechanisms.We demonstrate this with two self-folding pieces: a cube and a spherical five-bar linkage. These results demonstrate the potential for self-folding systems to be integrated with MEMS fabrication techniques to produce complex devices.