Direct writing with femtosecond lasers is the efficient and flexible 3-D precision material processing technology, which has been widely used in many fields. The optical waveguide is one of the basic configurations in an integrated photonic device, which can restrain the light field in a small channel for the diffraction-free propagation. In this paper, with the aid of the material modification and material ablation during the femtosecond laser processing, the directly-writting mechanism and the depletion of optical waveguides for different materials was summarized and analyzed. Researches utilized femtosecond lasers to realize the direct writing technology with low cost and high efficiency on materials such as glass, crystal, and polymers, ect. were reviewed. Finally, wthe prospect was made for the waveguides processed by femtosecond lasers in this review. It seems that the most critical factor during the laser manufacturing process of integrated micro-nano optical devices might be the low loss, high smoothness, high information fidelity, and 3-D fabrication of waveguides fabrication in the near future.