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In the domain of manufacturing and packaging of micro-system, the Pyrex7740 glass is a widely-used material since its coefficient of thermal expansion is similar to that of silicon, and its good optical performance for biosensors and optical sensors. But the use of Pyrex7740 glass is limited for its isotropic etching characteristic of tradition micro-machining. In this paper, we present a new process to fabricate deep grooves in Pyrex7740 glass. The process is based on the anodic bonding, and it uses the Si substrate as the mold for forming the shape of the cavity. Finally the cavities were formed by the atmospheric pressure after the special heat treatment. The Pyrex7740 glass with cavities could be used for high density packaging of micro-system by anodic bonding or adhesive bonding. The approach of fabricating deep cavities in Pyrex7740 glass is a key technology, which has seldom studied before. We have experimentally verified the feasibility of this new process. First of all, we fabricated the array of desired shape of cavities on silicon substrate by wet etching or dry etching. It is much easier to get the precise shape on the silicon substrate by micro machining than in Pyrex7740 glass. In our experiment, we had chosen several different side length of the square as a pattern. Then we bonded the Pyrex7740 glass and the silicon substrate together under the vacuum environment by anodic bonding. After that twice heat treatments were taken to the bonding wafer. One was to form the Pyrex7740 glass into desired shape by the silicon mold with the temperature up to the softening point. Another was to release thermal stress of the anodic bonding and the first heat treatment. The placement of the wafer during the heat treatment must be taken attention to. Finally, the bonding wafer with cavities was finished for the high density packaging of micro-system.