I built my own NES handheld with an ESP32, a 3D-printed case, and a 7.4V battery. It plays games from an SD card.
PICO Arc is a tiny, fully functional pocket arcade built around the Raspberry Pi Pico. It's small enough to fit right into your pocket
Open-source ESP32 handheld with 40 learning games, from Maths to Chess over Bluetooth. No Accounts, No Telemetry. Flashes from a browser.
I packed a real Atari 2600 and CRT display into a handheld.