We report on the fabrication of depressed cladding waveguides in Nd:GdVO(4) laser crystal by using femtosecond laser inscription. The cross section of the structure is a circular shape with a diameter of 150 μm. Under the optical pump at 808 nm, the continuous wave (cw) as well as pulsed (Q-switched by graphene saturable absorber) waveguide lasing at 1064 nm has been realized, supporting guidance of both TE and TM polarizations. The maximum output power of 0.57 W was obtained in the cw regime, while the maximum pulse energy of the pulsed laser emissions was up to 19 nJ (corresponding to a maximum average output power of 0.33 W, at a resonant frequency of 18 MHz). The slope efficiencies achieved for the cw and pulsed Nd:GdVO(4) waveguide lasers were as high as 68% and 52%, respectively.