Micro-electrical discharge machining (EDM) milling with a simple-shaped electrode is an effective machining method to fabricate three-dimensional micro parts and micro structures. However, the serious electrode wear occurring in the machining process significantly deteriorates the geometrical accuracy of the products. Since the electrode wear in micro-EDM milling is inevitable and hard to model accurately, it is difficult to conduct effective electrode compensation. To enhance the machining quality and efficiency of micro-EDM milling, a large layer thickness milling method is introduced and the improved electrode compensation model for large monolayer thickness milling is proposed based on modification of the conventional compensation model. First of all, proper machining parameters are obtained from processing tests without compensation. The wear law of the micro-electrode is then investigated and the conventional electrode compensation model is modified taking into consideration the changes of electrode shape during machining. Moreover, a new relative volume wear ratio measurement method is also presented through material composition analysis and the improved compensation model based on large monolayer thickness is finally established. Experiments demonstrate that the improved electrode compensation model can achieve accuracy when machining micro structures with large monolayer thickness and this method is an effective way to ensure the quality of micro products. Meanwhile, the use of large monolayer thickness in micro-EDM milling can enhance the machining efficiency significantly.