Electrochemical discharge machining (ECDM) is an alternative method to microdrill Pyrex glass for MEMS devices. However, the taper and the heat-affected zone of the microholes resulting from the thermal energy is a problem to which attention has to be paid. This study attempts to improve the ECDMed microhole quality by applying electrophoretic deposition grinding (EPDG). ECDM was first used to drill a microhole and was followed by EPDG to refine the hole. The experimental results demonstrated that selecting a suitable diameter of the tool in EPDG is important to improve the taper angle of microholes machined by ECDM. A step shape tool with ϕ210 µm diameter was designed as a critical factor for improving the taper. An excellent taper angle of 0.2° could be achieved. At the beginning of EPDG, the taper angle and wavy surface of the ECDMed hole were improved by the step shape tool. The subsequent EPDG further improved the surface roughness. Additionally, a sufficient grinding time was required to produce a fine surface. Improving surface roughness requires a higher tool rotation speed and a longer grinding time. However, the dislodging of abrasives in the entrance will worsen the roundness and increase the diameter difference of the hole. Suitable grinding parameters for use in the experiments include tool rotation speed: 1500 rpm, abrasive size: 0.3 µm and grinding time: 500 s. After EPDG, the surface roughness of the microholes achieved was 5 nm Ra. This study demonstrates the feasibility of using EPDG to improve the quality of the ECDMed hole.