Fabrication of micro- or nano-scale photonic devices in polymer materials to control and manipulate light propagation represents a hot topic nowadays. Compared with conventional semiconductor materials, polymers are easy to prepare and have the flexibility of incorporating active materials to realise various functionalities. As one of the most powerful tools in micro-optical fabrication, the two-photon polymerization technique has been widely employed recently to produce multifarious photonic devices, particularly the photonic crystals, which are promising candidates for integrated optical devices. In this article the recent advances in the fabrication of three-dimensional photonic devices such as diffractive optical elements, photonic crystals, and superprisms in polymer materials using the two-photon polymerization technique are reviewed. In particular, the fabrication of photonic crystals in nanocomposite polymers, which are formed by incorporating nanocrystal quantum dots into polymer materials, is demonstrated, providing an interesting physical platform for the investigation into new types of active micro-devices.