A method of forming a micro groove structure according to the invention has the steps of: (a) forming a mask pattern on a substrate capable of being subjected to dry etching; (b) dry etching the substrate having the mask pattern formed thereon; (c) vapor-phase forming a thin film of a masking material for the dry etching, on a non-etched surface portion of the substrate after the dry etching; and (d) dry etching the substrate having the thin film formed thereon. The steps (a) to (d) are carried out successively.