Comparative study on micro-deep hole drilling by picosecond ultra-short pulse laser in four metals, including copper, aluminum alloy, titanium alloy, and nickel alloy, was presented. Destructive testing was performed to measure the depth, shape, and side-wall morphology of micro-deep holes in this study. Diameters and depths of micro-deep holes in four metals ablated using the same processing parameters were compared. The multiple thresholds of metals had been calculated. Relationships between hole dimensions and multiple thresholds (the average ablation threshold, the ablation threshold and the thermal threshold) and physical properties (for example, the heat capacity, the melting temperature, the optical penetration depth and the absorbance, etc.) of the four metals are examined. Furthermore, the surface and side-wall morphologies of the micro-deep holes in four metals were demonstrated. The influence mechanisms, especially the side-wall morphology, were discussed, such as the thresholds, conical emission, self-cleaning effect, physical properties of metals, the energy transmission, the plasma effect, thermochemical reaction, and so on.