Polymer materials exhibit unique properties in the fabrication of optical waveguide devices, electromagnetic devices, and bio-devices. Direct laser writing (DLW) technology is widely used for micro-structure fabrication due to its high processing precision, low cost, and no need for mask exposure. This paper reviews the latest research progresses of polymer-based micro/nano-devices fabricated using the DLW technique as well as their applications. In order to realize various device structures and functions, different manufacture parameters of DLW systems are adopted, which are also investigated in this work. The flexible use of the DLW process in various polymer-based microstructures, including optical, electronic, magnetic, and biomedical devices are reviewed together with their applications. In addition, polymer materials which are developed with unique properties for the use of DLW technology are also discussed.