Electrochemical machining (ECM) of micro holes has some disadvantages such as contradiction between machining locality and efficiency, difficulties of electrolyte renewal and dissolved matter removal, even electrode wear. In order to solve the above problems, this paper presents a design of three-electrode pulse power supply (PPS) with interpulse outputs from auxiliary electrode (IOAE) and also a preparation technique of micro nested hollow electrodes (MNHE), to realize micro hole machining with good machining locality and no electrode wear. The depolarization current from IOAE achieves gas inhibition and dissolution promotion (GIDP) in micro ECM. The hollow electrodes with inner diameter of 60µm, outer diameter of 130µm and length of 3mm are obtained and the flow rate of electrolyte is up to 9m/s under pressure 1MPa. In preliminary experiments, micro holes with inlet diameter of about 157µm and outlet diameter of about 133µm are obtained on 0.5mm thick stainless steel. The erosion rate is increased from 3.21×10-4mm3/s to 6.644×10-4mm3/s and surface roughness is improved from Ra 0.52µm to Ra 0.32µm. The experimental results show that the machining locality, efficiency and surface quality of micro holes are significantly improved by utilizing three-electrode PPS with IOAE and MNHE.