In micro-EDM machining the most commonly used dielectrics are mineral oil and deionized water, that are characterised by different dielectric permittivity. As a matter of fact, the use of these dielectrics, especially mineral oil, requires proper air filtering and a correct dismissal of the used dielectric. The spread of an environment friendly approach for a more conscious manufacturing enhanced the study of micro-EDM technology in different dielectric conditions. In particular, it was underlined the possibility to conduct EDM and micro-EDM tests with different dielectrics, in other words the so called “dry” conditions. Aim of this paper is to investigate the influence of the dielectric fluid on the process performance and on the geometrical characteristics of the micro holes. A comparison between the conventional mineral oil, compressed air and oxygen was carried out. The experimental campaign was executed with a Sarix SX 200 machine for the machining of magnesium sheets having thickness of 1 mm.