Understanding and predicting the behaviour of liquids at interfaces poses formidable scientific challenges and is highly relevant for the thriving fields of micro- and nanofluidics. External friction forces, such as in liquids slipping over solids, play a central role. This work presents a well-founded extension of (generalised) fluctuating hydrodynamics to systems with slip boundaries or more general external friction forces. The theory naturally includes thermal fluctuations, which become important on small length scales. Moreover, they are fundamentally related to dissipative processes and reveal microscopic details of friction. A resulting fluctuating slip boundary condition is applied to derive stochastic thin film equations on slip substrates and to calculate the autocorrelation function of the tangential interaction force at a liquid-solid boundary. In addition, a complementary approach for arbitrary small (classical) scales offers an alternative description. The formalism transfers notions from macroscopic hydrodynamics to the microscale, and external friction appears as a combination of static external forces and additional viscous dissipation.