This paper reports the comparison of the machining performance of micro-EDM milling and sinking for the fabrication of micro-channels with controlled sloped walls realized in a hardened steel workpiece. The machining regime used for both micro-EDM sinking and milling is the fine-finishing. The results show that micro-EDM sinking is about 9 times faster than milling, though the effects of tool wear become relevant inducing a lack of accuracy in the final micro-features. Despite the slower machining time, micro-EDM milling provides a better control of the micro-channel dimensions and draft angles of the walls. No difference related to surface roughness is detected, since the energy level used in both approaches is the same. A micro-filter for hearing aid, dialysis media and inhaler, having a diameter of 2.3 mm characterized by a grid of 76 micro-pins, is machined in order to show the potential of the combination of both technologies.