Femtosecond lasers have opened up new avenues in materials processing due to their unique characteristics of ultrashort pulse widths and extremely high peak intensities. The short pulse width suppresses the formation of a heat-affected zone, which is vital for ultrahigh precision fabrication, whereas the high peak intensity allows multiphoton absorption to be induced in materials that are transparent to the laser wavelength. More interestingly, irradiation with tightly focused femtosecond laser pulses inside transparent materials provides a facile route to modify the interior of transparent materials in a spatially selective manner, enabling three-dimensional (3D) fabrication and integration of multifunctional micro-/nano-structures and components in a monolithic substrate. For instance, femtosecond laser pulses have been used to write optical waveguides in both passive and active materials by locally modifying their refractive indices. In combination with wet chemical etching, femtosecond laser direct writing has also been used to fabricate microfluidic structures, including microchannels and chambers, microvalves, and micropumps. The same technique has been extended to fabricate free-space optics such as micromirrors and micro-optical lenses in glass materials. By virtue of its unique ability to build different types of functional components into a monolithic substrate, femtosecond laser direct writing offers a flexible approach to fabricate a wide variety of integrated devices and microsystems. Although femtosecond laser micromachining have indeed shown extreme flexibility for fabrication and integration of 3D multifunctional micro- components in bulk transparent materials, several major issues still exist, such as the limited size of the microfluidic structures, the limited fabrication resolution, high surface roughness, and so on. This review focuses primarily on the recent efforts to tackle the two issues as mentioned above. By use of femtosecond laser direct writing in porous glass immersed in water followed by post-annealing, we demonstrated microfluidic channels with nearly unlimited lengths and arbitrary 3D geometries. By controlling the laser peak intensity and polarization, a single nanoplane with sub-50-nm feature size could be achieved inside porous glass based on these strategies, several functional devices and their applications have been demonstrated, including 3D passive microfluidic mixer and an integrated micro-nanofluidic system for single DNA analysis. Furthermore, we demonstrate fabrication of 3D whispering gallery microcavities with quality (Q)-factors on the level of ~1×106 in glass chips by femtosecond laser direct writing followed by CO2 laser reflow.