Electrical discharge machining has emerged as one of the most accepted non-traditional machining methods that have the capability of attaining complex shapes and better feature size in difficult-to-machine materials. In this article, an advanced review of conventional electrical discharge machining and micro–electrical discharge machining of difficult-to-machine materials, such as nickel and its alloys, titanium alloys, stainless steel (SUS 304) and advanced ceramics, has been presented. The review begins with an introduction to the conventional electrical discharge machining and micro–electrical discharge machining processes, followed by classifications and a brief discussion on different aspects of micro-manufacturing methods. The current research trends and developments, research gaps and challenges of the conventional electrical discharge machining and micro–electrical discharge machining of nickel and its alloys, titanium alloys (Ti6Al4V), stainless steel and advanced ceramics are also discussed in depth. A brief note on future research trends, based on the available literature, has been included in the last section.