A probe holding structure includes a substrate and a plurality of holding modules. The substrate has an opening and a plurality of grooves arranged around a periphery of the opening. The holding modules are connected with the grooves, respectively. Each holding modules includes a fixing member and a plurality of probes. The fixing member is connected with a corresponding groove. The probes are connected with the fixing member and pass through the corresponding groove. The probe holding structure is combined with a lens adjusting mechanism having a lens to form an optical inspection device for testing electric characteristics of chips.