Micro-Electro Chemical Machining (micro-ECM) is a non-conventional machining process used for machining various micro-features on any conducting engineering materials with the required size and shape irrespective of the material hardness. The mechanism of material removal in the micro-ECM process is anodic dissolution. Micro-ECM is a non-contact machining process, and hence machining forces, tool wear, and heat-affected zone are absent in the process. The present study discusses the development of a cost-effective, portable, and instrumented micro-ECM experimental setup. The main advantage of this experimental setup is its flexibility in varying the process parameters related to the micro-ECM process, which is essential for the parametric study. Also, the cost of this developed experimental setup is very much affordable. The unique feature of the experimental setup is an indigenously made pulse generator circuit and a closed-loop tool feed circuit made from a current-based sensor to maintain a constant Inter-Electrode Gap (IEG) between the tool electrode and the workpiece electrode during the machining process. Furthermore, details of the hardware controller and software developed for the experimental setup are also described. A full factorial experimental study of machining the holes on 300 µm thick copper plates using a 250 µm stainless steel tool electrode and aqueous sodium nitrate electrolyte is conducted using the developed experimental setup. The input process parameters selected for machining are voltage (V), electrolyte concentration (wt % C), and duty factor (% DF). The effects of these input parameters are studied on output responses like Material Removal Rate (MRR), Circularity (C), Radial Overcut (ROC), and Taper Angle (TA) using the Grey Relational Analysis (GRA) technique. The statistical significance of the input parameters and their interactions on the output responses are also analyzed using the Analysis of Variance (ANOVA) technique. The topography of the machined holes at various experimental conditions is also studied.