Mechanical micro-milling has become a prominent micromachining technique in recent years, and it has advanced high machining efficiency and precision. The advantages of versatility, utility, cost-effectiveness, and efficiency make it suitable for varied industries such as biomedicine, electronics, aerospace, and aviation. However, Conventional Micro-Milling (CMM) faces difficulties, particularly in dealing with difficult-to-cut materials. To solve the above problems, Ultrasonic Vibration-Assisted Micro-Milling (UVAMM) is proposed, which can efficiently address the challenges of machining difficult-to-cut materials. UVAMM is able to inhibit chip formation and reduce the intense friction between the flank surface of the tool and the machined surface. What’s more, it can reduce cutting forces, cutting temperature, and residual stress on the workpiece surface. Finally, it leads to an enhancement in the finished surface quality of difficult-to-cut materials, maximizing the overall machining performance. This paper reviewed UVAMM processing, such as mathematical modeling, chip formation, burr formation, tool wear, cutting forces, cutting temperature, and surface morphology. Furthermore, the finite element simulation of UVAMM and the significance of Minimum Quantity Lubrication (MQL) in UVAMM are discussed. At the end, advantages of UVAMM for difficult-to-cut materials such as titanium alloys, steel alloys, nickel-based alloys, aluminum alloys, composites, brass, and optical glass are summarized.