The femtosecond laser direct writing technique is a highly precise processing method that enables the rapid fabrication of three-dimensional (3D) micro- and nanoscale photonic structures in transparent materials. By focusing ultrashort laser pulses into transparent optical materials, such as crystals and glasses, it is possible to efficiently modify specific optical properties, including refractive indices and ferroelectric domains, at the laser focus. By carefully designing and optimizing the movement trajectory of the femtosecond laser, one can achieve periodic modulation of the optical features of these materials in 3D space. The resulting changes in material properties are closely linked to both the processing parameters of the femtosecond laser and the types of materials used. Through ongoing optimization of these parameters, desired periodic photonic structures can be created in specific transparent optical materials, leading to the development of 3D nonlinear photonic crystals (NPCs) and 3D waveguide arrays. To date, femtosecond-laser-written 3D NPCs and waveguide arrays have found extensive applications in integrated photonics, nonlinear optics, quantum optics, and topological photonics. This review highlights recent advancements in femtosecond-laser-written 3D NPCs and waveguide arrays, concluding with several potential research directions.