Capillary-gradient wicks can achieve fast or directional liquid transport, but they face fabrication challenges by traditional methods in terms of precise patterns. Laser processing is a potential solution due to its high pattern accuracy, but there are a few studies on laser-processed capillary-gradient wicks. In this paper, capillary step-gradient micro-grooved wicks (CSMWs) were fabricated by an ultraviolet nanosecond pulsed laser, and their capillary performance was studied experimentally. The CSMWs could be divided into three regions with a decreasing capillary radius. The equilibrium rising height of the CSMWs was enhanced by 124% compared to the non-gradient parallel wick. Different from the classical Lucas–Washburn model describing a uniform non-gradient wick, secondary capillary acceleration was observed in the negative gradient direction of the CSMWs. With the increase in laser power and the decrease in scanning speed, the capillary performance was promoted, and the optimal laser processing parameters were 4 W-10 mm/s. The laser-enhanced capillary performance was attributed to the improved hydrophilicity and reduced capillary radius, which resulted from the increased surface roughness, protrusion morphology, and deep-narrow V-shaped grooves induced by the high energy density of the laser. Our study demonstrates that ultraviolet pulsed laser processing is a highly efficient and low-cost method for fabricating high-performance capillary gradient wicks.