To manufacture the micro parts or micro structures effectively and precisely, a high precision 3-axis micro milling machine is built. All the three axis are driven by linear piezoelectric ultrasonic motors and the slides are supported by cross-roller guide. Investigations are firstly made to analyze the impact of the non-linear characteristics in the servo mechanism on the performance of the servo system. To achieve the positioning and tracking accuracy at sub-micrometer and micrometer level respectively, on one hand, a optical linear encoder with the resolution of 50nm is applied to close the control loop and a high performance DSP based motion control card is used to carried out the reference command. On the other hand, sophisticated control and compensation strategies are also implemented to overcome the non-linear characteristics in the servo system. Positioning and tracking experiments show that, with this well-tuned control system, the positioning and tracking accuracy are ±0.5μm and ±2.4μm respectively. Using this machine, a micro part with 5μm thin-walled structure is machined successfully.