With ultrashort pulses and ultra high power densities, femtosecond laser has unique advantages in micro-holes drilling, especially for high-quality and high-aspect-ratio micro-holes. The advantages and study implications of ultrashort pulse laser drilling of micro-holes are introduced. Major progress in femtosecond laser drilling of micro-holes is reviewed. The impacts of materials properties, laser parameters, drilling methods and ambient environments are discussed. In addition, potential applications, key challenges and future research trends are presented.