In this article, the finite difference lattice Boltzmann method (FDLBM) is successfully applied to analyze the hydrodynamic properties of the wedge-shaped gas film lubrication for the high speed micro gas bearings by comparing with the macroscopic methods (solving the modified Reynolds equation coupled with the simplified energy (modified Reynolds equation) and the Navier–Stokes equations coupled with the energy equation). By comparison, it is found that the vertical flow across the gas film can weaken the gas backflow and thus improves the gas film pressure, as the Navier–Stokes equation and FDLBM are used to analyze the wedge-shaped film lubrication. The continuum assumption in the macroscopic methods leads to a larger gas film pressure, compared with the value predicted by the FDLBM. And, the high temperature and speed enlarge this difference between them. Furthermore, the FDLBM provides a good warm-up for the multiscale simulation on the complex flow in the micro gas bearings.