Oxides, borides and carbides of the transition elements are materials of great interest from a technologic point of view. Many of these materials are used in the form of thin films, so several techniques are commonly used to deposit them. Among these techniques, Pulsed Laser Deposition (PLD) performed using ultra-short pulse lasers, mainly fs lasers, presents unique characteristics in respect to PLD performed using conventional short pulse lasers. Indeed, the films deposited using fs PLD are often nanostructured, and this technique often allows the target stoichiometry to be transferred to the films. In this work, we will review the use of ultra-short PLD in the production of films obtained from transition metal oxides, borides and carbides, evidencing the advantages offered by this technique, together with the problems arising with some of the studied systems. We conclude that even if ultra-short PLD is surely one of the most important and useful deposition techniques, it also presents limits that cannot be ignored.