Based on analysis of the mechanism of Electrical Discharge Machining (EDM) and the characteristics of deposition processing, the processing conditions of micro EDM Deposition (micro EDD) are determined. Micro EDD is a new EDM method taking air as machining medium, using narrow pulse width, long pulse interval, low discharge current and connecting the tool electrode with the anode of pulse generator. Using EDM shaping machine and brass, tungsten and steel as tool electrode respectively, micro cylinders are deposited on high-speed steel surface. And then the microstructure of deposit is analyzed detailedly. Results show that elements of the deposited material distribute uniformly, whose components depend on the tool electrode material. As the high cooling rate of the solidification process, the deposit grain size refines obviously, which leads to the hardness of tungsten or steel deposit increasing. Moreover, the Metallurgical bonding has occurred on the interface between deposit and high-speed steel base, whose thickness is about 5μm.