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Pyramid-shaped InGaN/GaN micro-light-emitting diodes (<i>μ</i>-LEDs) were grown on a sapphire substrate using the selective area growth technique. A stable emission wavelength of a single <i>μ</i>-LED pyramid at 412 nm was observed under an injection current from 0.05 to 20 mA, despite the non-uniformity of the thickness and composition of the multiple quantum wells (MQWs) on the sidewall. An efficient carrier confinement and, thus, a high luminescence intensity were demonstrated in the middle of the sidewall through spatial-resolved cathodoluminescence (CL) characterization and were predicted by theoretical simulations. An ultra-high output power density of 1.37 kW/cm² was obtained from the single <i>μ</i>-LED pyramid, illustrating its great potential for application in high-brightness micro-displays and in virtual reality and augmented reality (VR and AR) applications.