Depressed cladding waveguide is a new kind of waveguide whose unmodified core is surrounded by numerous lower refractive index tracks. It is flexible to manipulate their shapes and sizes of the cross sections while the original properties of the material are well preserved in the region of guiding core, so the waveguides can support both transverse electric and transverse magnetic polarization modes and they have an important application prospect in integrated photonics. By using femtosecond laser writing technique, the depressed cladding waveguides have been fabricated in various glass and crystal materials. The process is completed by the translational and helical focus moving, and the fast fabrication can be realized through the focal field engineering. In this review, we summarize the development of laser direct writing of depressed cladding waveguides and their wide applications to waveguide lasing, frequency conversion, temperature sensing, waveguide grating filters and integrated photonic devices, and so on.