Nowadays, additive manufacturing (AM)-produced parts are in high demand. But as per application specific requirements, production of micro-holes is still a challenge using Selective Laser Melting (SLM) process. In such cases, different micro-drilling processes can be used, such as conventional and EDM micro-drilling. Apart from that, directional anisotropy is another problem associated with SLM-fabricated materials. In the present investigation, a comparison of conventional and Electric Discharge Machining (EDM) drilling process has been considered, along with a comparison of parallel and perpendicular to build directions (BD) in terms of surface roughness, overcut, and hole depth. It was found that the average surface roughness in the micro-EDM drilling process was 90.8% higher than the conventional micro-drilling process. Whereas in the case of overcut analysis, diameter of the micro EDM drilled hole was 258% higher than that of the conventional micro-drilled hole. It was also found that there is no significant effect of BD in the overcut. Similarly, in the case of conventional micro-drilling, no significant effect of BD was found for hole depth. But in EDM micro-drilling, the average depth in parallel to BD was 17% higher compared to perpendicular to BD, whereas the average depth of conventional micro-drilled hole was 190% higher than micro-EDM-drilled hole. Based on the comparison results, it is very difficult to produce good quality holes using micro-EDM process with current optimized process parameters, and further optimization of process parameters are required to produce micro holes with dimensional stability. With the help of post-processing operations, it is possible to reduce the high surface roughness and control the directional anisotropy, which will in turn aids using SLM-fabricated components in fuel injection nozzles, micro dies, molds, micro-electro components, etc. applications.