Miniaturization, integration, and flexible deformation are the future development trends of optical devices. Meanwhile, optical systems based on integrated micro-optical devices stand out for their low power consumption, fast response, and high information storage capacity. However, current high-precision micro/nano processing methods, such as FIB (Focused Ion Beam) and semiconductor lithography, are far too complex and in lack of flexibility. Femtosecond laser, as a non-contact, high-precision, high-intensity tool for "cold" processing, is particularly favored in micro/nano processing. This review first elucidated the background and mechanism of femtosecond laser micromachining used in optical device. After that, we discussed a number of methods employed to improve the resolution of femtosecond micromachining. Then we listed various advanced processing means based on femtosecond laser and systematically summarized recent representative research developments of femtosecond laser micromachining used in microlens, gratings, optical waveguides, and photonic crystals. Finally, we concluded the challenges and the directions for further development of femtosecond laser machining in the field of micro-optical devices.