Micro-dimple arrays are widely used as surface textures in tribology to improve friction performance. Through-mask electrochemical micro-machining (TMEMM) is a popular method to generate such arrays. However, machining accuracy is reduced by lateral undercutting of the micro-dimples. In this paper, we present that the oxygen bubbles produced on the workpiece surface during the machining could be employed to reduce undercutting. A thick mask was introduced to prevent escape of the oxygen bubbles from the micro-dimples. Oxygen bubbles accumulating at the micro-dimple edges might protect the edges from etching, thereby reducing undercutting and improving machining accuracy. The experimental results show an undercutting of only about 3μm with a 250-μm-thick polydimethylsiloxane (PDMS) mask. In particular, there was no increase in undercutting when the applied voltage and machining time were increased. An interesting phenomenon was observed in which there was little increase in depth with increasing voltage, whereas the depth increased with longer machining time. Thus, direct or pulsed current can be used to generate different depths of micro-dimple arrays with low undercutting by simply controlling the machining time, regardless of the applied voltage.