In this paper, water jet-guided laser (WJGL) drilling of Cf/SiC composites was employed and the effects of the processing parameters on the depth and quality of the micro-holes were systematically investigated. Firstly, the depth measurement showed that the increase in processing time and power density led to a significant improvement in micro-hole drilling depth. However, the enhancement of the water jet speed resulted in a pronounced decrease in the depth due to the phenomenon of water splashing. In contrast, the scanning speed, path overlap ratio, pulse frequency, and helium pressure exhibited less effect on the micro-hole depth. Secondly, the microstructural analysis revealed that the increase in power density resulted in the deformation and fracture of the carbon fibers, while the augmentation in water jet speed reduced the thermal defects. Finally, based on the optimization of the processing parameters, a micro-hole of exceptional quality was achieved, with a depth-to-diameter ratio of 8.03 and a sidewall taper of 0.72°. This study can provide valuable guidance for WJGL micro-hole drilling of Cf/SiC composites.