Femtosecond lasers have unique characteristics of ultrashort pulse width and extremely high peak intensity; however, one of the most important features of femtosecond laser processing is that strong absorption can be induced only at the focus position inside transparent materials due to nonlinear multiphoton absorption. This exclusive feature makes it possible to directly fabricate three-dimensional (3D) microfluidic devices in glass microchips by two methods: 3D internal modification using direct femtosecond laser writing followed by chemical wet etching (femtosecond laser-assisted etching, FLAE) and direct ablation of glass in water (water-assisted femtosecond laser drilling, WAFLD). Direct femtosecond laser writing also enables the integration of micromechanical, microelectronic, and microoptical components into the 3D microfluidic devices without stacking or bonding substrates. This paper gives a comprehensive review on the state-of-the-art femtosecond laser 3D micromachining for the fabrication of microfluidic, optofluidic, and electrofluidic devices. A new strategy (hybrid femtosecond laser processing) is also presented, in which FLAE is combined with femtosecond laser two-photon polymerization to realize a new type of biochip termed the ship-in-a-bottle biochip.