We report on the application of femtosecond laser micromachining to the fabrication of complex glass microdevices, for high-order harmonic generation in gas. The three-dimensional capabilities and extreme flexibility of femtosecond laser micromachining allow us to achieve accurate control of gas density inside the micrometer interaction channel. This device gives a considerable increase in harmonics generation efficiency if compared with traditional harmonic generation in gas jets. We propose different chip geometries that allow to control the gas density and driving field intensity inside the interaction channel to achieve quasi-phase matching conditions in the harmonic generation process. We believe that these glass micro-devices will pave the way to future downscaling of High-order Harmonic Generation beamlines.