In this paper, micromachined devices for millimeter-wave applications at U- and V-bands are presented. These structures are designed using a rectangular coaxial line built of gold-coated SU-8 photoresist layers, where the coaxial center conductor is suspended in air by stubs. The designs include a stepped coplanar waveguide (CPW)-to-coaxial transition at 63 GHz, with an insertion loss of 0.39 dB at 67.75 GHz and a return loss better than −10 dB across the band of operation between 54.7 and 70.3 GHz. Two filters have been designed; one centered at 42 GHz with a 10% bandwidth, and another at 63 GHz with a 5% bandwidth. Measured insertion losses of 0.77 and 2.59 dB were obtained for these filters, respectively. Measured return loss lower than 13.8 dB over the passband was achieved for both designs. The structures presented in this paper involve a low-cost manufacturing process suitable to produce integrated subsystems at millimeter waves.