A dry-etching-assisted femtosecond laser lithography technology is proposed to in-site fabricate micro-optical components with an ultra-smooth three-dimensional continuous profile on a non-planar substrate. Owing to the nanometric resolution of femtosecond laser multi-photon polymerization and dry etching, smooth micro-optical components can be realized on hard materials with surface roughness of approximately 1.5 nm. With flexible and arbitrary designability of femtosecond laser lithography, various high-quality micro-optical components are realized on sapphire. These results indicate that dry-etching-assisted femtosecond laser lithography has promising potential for versatile fabrication of arbitrary ultra-smooth micro/nanostructures on hard materials.