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Optical waveguides are far more than mere connecting elements in integrated optical systems and circuits. Benefiting from their high optical confinement and miniaturized footprints, waveguide structures established based on crystalline materials, particularly, are opening exciting possibilities and opportunities in photonic chips by facilitating their on-chip integration with different functionalities and highly compact photonic circuits. Femtosecond-laser-direct writing (FsLDW), as a true three-dimensional (3D) micromachining and microfabrication technology, allows rapid prototyping of on-demand waveguide geometries inside transparent materials via localized material modification. The success of FsLDW lies not only in its unsurpassed aptitude for realizing 3D devices but also in its remarkable material-independence that enables cross-platform solutions. This review emphasizes FsLDW fabrication of waveguide structures with 3D layouts in dielectric crystals. Their functionalities as passive and active photonic devices are also demonstrated and discussed.