Kinetic-scale magnetic holes (KSMHs) are structures characterized by a significant magnetic depression with a length scale on the order of the proton gyroradius. These structures have been investigated in recent studies in near-Earth space, and found to be closely related to energy conversion and particle acceleration, wave-particle interactions, magnetic reconnection, and turbulence at the kinetic-scale. However, there are still several major issues of the KSMHs that need further study — including (a) the source of these structures (locally generated in near-Earth space, or carried by the solar wind), (b) the environmental conditions leading to their generation, and (c) their spatio-temporal characteristics. In this study, KSMHs in near-Earth space are investigated statistically using data from the Magnetospheric Multiscale mission. Approximately 200,000 events were observed from September 2015 to March 2020. Occurrence rates of such structures in the solar wind, magnetosheath, and magnetotail were obtained. We find that KSMHs occur in the magnetosheath at rates far above their occurrence in the solar wind. This indicates that most of the structures are generated locally in the magnetosheath, rather than advected with the solar wind. Moreover, KSMHs occur in the downstream region of the quasi-parallel shock at rates significantly higher than in the downstream region of the quasi-perpendicular shock, indicating a relationship with the turbulent plasma environment. Close to the magnetopause, we find that the depths of KSMHs decrease as their temporal-scale increases. We also find that the spatial-scales of the KSMHs near the subsolar magnetosheath are smaller than those in the flanks. Furthermore, their global distribution shows a significant dawn-dusk asymmetry (duskside dominating) in the magnetotail.