A photonic nanojet (PNJ) is a fine and high intensity light beam that is generated from a dielectric microsphere irradiated by a laser. A PNJ has a smaller beam diameter than the wavelength of the incident laser and can propagate for longer than 1 μm with high intensity and minimal divergence. In other words, a PNJ has a long depth of focus. Due to its outstanding optical properties, a PNJ is suitable for laser micro machining to create sub-micrometer scale structures. Depth of focus of a PNJ generated in water is longer than in air. In this paper, we experimentally investigated machining characteristics of laser micro machining using a PNJ in water medium. First, electromagnetic simulation was conducted to know the intensity distribution of PNJ in water medium. The simulation demonstrated that PNJ in water mdium has beam diameter of sub-micrometer scale and micrometer scale depth of focus. Next, machining experiments were also conducted on a silicon substrate. A femtosecond laser was used as the machining laser. By controlling the microsphere position, the PNJ position can be controlled in the propagation direction. Sub-micrometer scale hole diameters were obtained even when the PNJ position in the propagation direction was changed by 3 μm. In conclusion, the long depth of focus of a photonic nanojet in water medium enable to create sub-micrometer scale structures.