Multimodal Large Language Models (MLLMs) have shown promising potential in diverse understanding tasks, e.g., image and video analysis, math and physics olympiads. However, they remain blank and unexplored for Small Object Understanding (SOU) tasks. To fill this gap, we introduce SOUBench, the first and comprehensive benchmark for exploring the small objects understanding capability of existing MLLMs. Specifically, we first design an effective and automatic visual question-answer generation strategy, constructing a new SOU-VQA evaluation dataset, with 18,204 VQA pairs, six relevant sub-tasks, and three dominant scenarios (i.e., Driving, Aerial, and Underwater). Then, we conduct a comprehensive evaluation on 15 state-of-the-art MLLMs and reveal their weak capabilities in small object understanding. Furthermore, we develop SOU-Train, a multimodal training dataset with 11,226 VQA pairs, to improve the SOU capabilities of MLLMs. Through supervising fine-tuning of the latest MLLM, we demonstrate that SOU-Train can effectively enhance the latest MLLM's ability to understand small objects. Comprehensive experimental results demonstrate that, the proposed SOUBench, along with the SOU-VQA and SOU-Train datasets, provides a crucial empirical foundation to the community for further developing models with enhanced small object understanding capabilities. Datasets and Code: https://github.com/Hanfj-X/SOU.