We report on the fabrication of depressed cladding waveguide lasers in Nd:YAG (neodymium doped yttrium aluminum garnet, Nd:Y3Al5O12) ceramics microstructured by femtosecond laser pulses. Full control over the confined light spatial distribution is demonstrated by the fabrication of high contrast waveguides with hexagonal, circular and trapezoidal configurations. The confocal fluorescence measurements of the waveguides reveal that the original luminescence features of Nd3+ ions are well-preserved in the waveguide regions. Under optical pump at 808 nm, cladding waveguides showed continuous wave efficient laser oscillation. The maximum output power obtained at 1064.5 nm is ~181 mW with a slope efficiency as high as 44%, which suggests that the fabricated Nd:YAG ceramic waveguides are promising candidates for efficient integrated laser sources.