Electrical discharge machining (EDM) is one of the most promising non-traditional micro-scale machining methods. Because several operating parameters that are insignificant in macro EDM cannot be neglected during micro EDM process, models derived from the macro EDM process may be inappropriate at the micro scale. This paper contains a comprehensive review of size effects in traditional micro-machining and characteristics specific to micro EDM compared to macro EDM techniques. The very concept of size effects in micro EDM is thoroughly defined and three categories of effects are presented: material microstructure, processing parameter and thermal conduction size effects. Future potential research directions on the subject are also summarized. We assert that careful research and precise attention must be given to size effects in micro EDM. Size effect information especially benefits the machining speed and machining precision of micro EDM.