Since the invention of lasers in the 1960s, the pulse duration has been continuously shorten down to the sub-picosecond and even femtosecond regime. It makes the laser processing technology in the ultrashort pulse laser era. Compared with other methods, the ultrashort pulse laser drilling of micro-hole is independent of the size and materials, and it has the advantages of high precision and automation. The advantages, such as the "cold" processing, breaking the diffraction limit, for ultrashort pulse laser drilling of micro-hole were presented. Three classical models were demonstrated, which were the threshold fluence-hole diameter model, the multi-pulse cumulative model and the single-pulse ablation depth model. The experimental studies for ultrashort pulse laser drilling of micro-hole were analyzed. Furthermore, the challenging issues and prospects were concluded.