Bulk metallic glasses (BMGs) formed by rapid quench from liquid melts are emerging as a novel class of versatile advanced materials with excellent mechanical, physical, and chemical properties over conventional crystalline metals, including superior strength, high elasticity, and excellent corrosion resistance, attributable to their long-range disordered atomic structure. For practical applications, shaping of BMGs is the first process and various processing methods have been proposed. Apart from thermoplastic forming (TPF), micro machining processes, such as diamond turning, laser processing, and micro electrical discharge machining (micro-EDM), belonging to material removal processes, play significant roles for shaping of BMGs in industrial applications. In this review, the state-of-the-art micro machining methods of BMGs are comprehensively summarized, followed by pointing out future developments of this research topic. The reported studies are categorized into three different machining processes, termed as diamond turning, laser processing, and micro-EDM. Due to excellent properties of BMGs as well as amorphous structures, some unique cutting characteristics on the aspects of chip formation, cutting forces, tool wear, oxidization, and crystallization are reported during diamond turning process of BMGs. As the low machining efficiency and severe tool wear impede its broad commercial adoption, laser processing and micro-EDM exert their advantages on micro machining of BMGs. In consideration of the effects of laser irradiation on the multi-component alloys, understanding the fundamental laser-BMG interaction is necessary for the improvement and optimization of the machining precision and accuracy. Micro-EDM, as a novel kind of feasible processing method, further enlarges the machinability of BMGs. Some related issues and challenges in micro-EDM are carefully discussed, which are meaningful for further development of such method in micro/nano machining of BMGs.