We present some of our results on the femtosecond laser direct writing and characterization of micro-structures in silicate, Foturan™, and tellurite glasses. Structures with different sizes were fabricated with varying input energy and spatially modified pulse using a slit. Various characterization techniques including fluorescence spectroscopy, microRaman spectroscopy, and laser confocal microscopy were employed to analyze the structural and physical modifications at focal volume resulting in the change of refractive index (RI). The RI change due to material modification was estimated using diffraction from a continuous wave laser beam and is presented in this work. The results obtained are analyzed vis-à-vis the recent work in similar glasses and the applications of such structures in the fields of photonics.