The mechanism of three-dimensional (3D) laser micro-structuring of dielectrics (resists, polymers, glasses, and crystals) by the direct laser writing is discussed. Overview of a light-matter interaction of a tightly-focused femtosecond pulse with dielectrics is presented. The void formation is demonstrated inside silica glass by a single picosecond pulse. Peculiarities of tight focusing and an axial superposition of two co-propagating pulses at the focus are revealed by numerical simulations. Potential of the fabricated 3D patterns in micro-photonics, micro-fluidics, and sensor applications is discussed.