Electrochemical micro-milling (ECMM) is promising in machining micro-parts with the increasing demand for precise and small parts in the industrial field. However, the machining accuracy is always a problem due to the over-corrosion in ECMM. Considering the machining accuracy and the material removal rate, ultrasonic-assisted ECMM using a side wall insulated cathode was proposed in this study. Ultrasonic vibration promotes the discharge of the byproducts and enhances the renewal of electrolyte in the interelectrode and the coating on the cathode, reducing the overcut of the workpiece material. Microgrooves and 3D structures are processed layer by layer, and the cross-sectional profiles and surface roughness are measured by a 3D laser scanning microscope. Firstly, the influences of individual parameters on machining performances were analyzed, and their optimal values were obtained. Then, different milling schemes concerning the layered cathode feeding depth, milling trajectory, and offset were designed to investigate and discover the performances of machined 3D microstructures. Finally, a semi-spherical workpiece with a diameter of 600 µm, surface roughness of 223 nm, a cantilever with a width of 101.6 µm, and an aspect ratio of 8.43 was successfully processed based on the optimized parameters.