The machining of small holes and array holes has been a difficult problem in machining field. Tiny hole is widely used in mechanical field, for instance, fuel injection nozzles, spinneret holes for synthetic fibers and wire drawing dies. This paper investigated the application of EDM (electrical discharge machining) to the fabrication of micro structures. There are obvious limitations in the process of micro-electrical discharge machining, such as electrode wear, unstable discharge condition and low machining efficiency. The effects of EDM parameters were investigated, such as voltage, pulse frequency, and frequency of ultrasonic vibration applied to electrode. Micro holes were machined with Pt electrode made by focused-ion-beam chemical vapor deposition (FIB-CVD) and Cu electrode made by wire-electrode cutting. The comparison experiments between EDM and ECM (electrochemical machining) indicated that the processing of ECM has serious stray current corrosion and poor machining precision. Moreover, the workpiece vibration was firstly proposed to be utilized in the micro-electrical discharge machining. It can be concluded that maximum machine could be obtained under the amplitude ratio of 76%, which was an appropriate parameter.