In order to satisfy micro-machining requirements of different materials, a coaxial output three-wavelength picosecond laser micro-machining system is designed with three-wavelength picosecond laser, self-designed optics system and control system. This system can use any one, two or three of the laser wavelengths to process at the same working distance. Through the axial chromatic aberration compensation design, the maximum distance of axial focus compensation is 0.4 mm, and the diameter of the minimum focal spot is 3 μm. With this system，the experiments of cutting copper electrode plates and mobile phone screen and fabricating graphics for position-sensitive anode detector have been carried out. Experiments show that the system can satisfy the micro-machining requirements of many materials.