The micro machinability of ZrTiCuNiBe bulk metallic glass (BMG) was investigated by micro milling with coated cemented carbide tools. The corresponding micro milling tests on Al6061 were conducted for comparison. The results showed that the tool was still in stable wear stage after milling 300 mm, and the surface roughness Ra could be maintained around 0.06 μm. The tool experienced only slight chipping and rubbing wear after milling the BMG, while a built-up edge and the coating peeling off occurred severely when milling Al6061. The influence of rotation speed on surface roughness was insignificant, while surface roughness decreased with the reduction of feed rate, and then increased dramatically when the feed rate was below 2 μm/tooth. The surface roughness increased gradually with the axial depth of cut (DOC). Milling force decreased slightly with the increase in rotation speed, while it increased with the increase in axial DOC, and the size effect on milling force occurred when the feed rate decreased below 1 μm/tooth. The results of X-ray diffraction (XRD) showed that all milled surfaces were still dominated by an amorphous structure. This study could pave a solid foundation for structural and functional applications.