Dielectric crystalline waveguides, with the combination of compact geometry of waveguides and astonishing properties of crystals, have developed as one of the unique platforms for versatile miniature and integrated photonic applications. Femtosecond-laser direct writing is one of the most efficient techniques for three-dimensional microfabrication of miniature photonic devices based on waveguiding structures in transparent optical materials. Focused on crystalline dielectric materials, the state-of-the-art in the fabrication, characterization and applications of femtosecond laser micromachined waveguiding structures in optical crystals and ceramics is reviewed. A brief outlook is presented by focusing on a few potential spotlights.