Compared to the conventional single-point incremental forming (SPIF) processes, water jet incremental micro-forming (WJIMF) utilizes a high-speed and high-pressure water jet as a tool instead of a rigid round-tipped tool to fabricate thin shell micro objects. Thin foils were incrementally formed with micro-scale water jets on a specially designed testbed. In this paper, the effects on the water jet incremental micro-forming process with respect to several key process parameters, including water jet pressure, relative water jet diameter, sheet thickness, and feed rate, were experimentally studied using stainless steel foils. Experimental results indicate that feature geometry, especially depth, can be controlled by adjusting the processes parameters. The presented results and conclusions provide a foundation for future modeling work and the selection of process parameters to achieve high quality thin shell micro products.