There is provided a guide device for a machining head capable of machining a workpiece such as a cylinder head of an engine accurately, a machine having the guide device, and a guide method. At least one of guide posts formed in a guide post member has an air pressure controlling function capable of fitting and holding a guide bar in the guide post in a non-contact state, and other guide bars have a very small clearance with the guide post facing to the guide bar. Thereby, the position at which the machining head is held is accurately held.