Three-dimensional (3D) printing of microscale structures with high resolution (sub-micron) and low cost is still a challenging work for the existing 3D printing techniques. Here we report a direct writing process via near-field melt electrospinning to achieve microscale printing of single filament wall structures. The process allows continuous direct writing due to the linear and stable jet trajectory in the electric near-field. The layer-by-later stacking of fibers, or self-assembly effect, is attributed to the attraction force from the molten deposited fibers and accumulated negative charges. We demonstrated successful printing of various 3D thin wall structures (freestanding single walls, double walls, annular walls, star-shaped structures, and curved wall structures) with a minimal wall thickness less than 5 μm. By optimizing the process parameters of near-field melt electrospinning (electric field strength, collector moving speed, and needle-to-collector distance), ultrafine poly (e-caprolactone) (PCL) fibers have been stably generated and precisely stacked and fused into 3D thin-wall structures with an aspect ratio of more than 60. It is envisioned that the near-field melt electrospinning can be transformed into a viable high-resolution and low-cost microscale 3D printing technology.