In recent years, micro-hole drilling with a diameter of less than 1 mm has been widely applied in electronic information, semiconductor, metal processing, and other fields. Compared with conventional drilling, the engineer problems that micro drills are more prone to suffer failure in advance have restricted further development of mechanical micro drilling. In this paper, the main substrate materials of micro drills were introduced. And two important technical means to improve properties of tool material, namely, grain refinement and tool coating, were also introduced, which are current main research directions of micro drills from the perspective of materials. The failure mechanisms of micro drills were briefly analyzed, mainly tool wear and drill breakage. In the structure of micro drills, cutting edges and chip flutes are directly related to tool wear and drill breakage, respectively. So the structural optimization and design of micro drills, especially for key structures such as cutting edges and chip flutes, have to face great challenges. Based on the above, two pairs of requirements for micro drills were proposed, that is, the balance between chip evacuation and drill stiffness and the balance between cutting resistance and tool wear. So some innovative schemes and related researches of micro drills regarding cutting edges and chip flutes were reviewed. Finally, a summary of micro drill design and existing problems and challenges is proposed.