A novel substrate integrated microstrip to ultra-thin cavity filter transition operating in the W-band is proposed in this letter. The structure is a new method of connecting microstrip circuits and waveguide filters， and this new structure enables a planar integrated transition from microstrip lines to ultra-thin cavity filters， thereby reducing the size of the transition structure and achieving miniaturization. The structure includes a conventional tapered microstrip transition structure， which guides the electromagnetic field from the microstrip line to the reduced-height dielectric-filled waveguide， and an air-filled matching cavity which is placed between the dielectric-filled waveguide and the ultra-thin cavity filter. The height of the microstrip line， dielectric-filled waveguide and the ultra-thin cavity filter are the same， enabling seamless integration within a planar radio-frequency （RF） circuit. To facilitate testing， mature finline transition structures are integrated at both ends of the microstrip line during fabrication. The simulation results of the fabricated microstrip to ultra-thin cavity filter transition with the finline transition structure， with a passband of 91.5-96.5 GHz， has an insertion loss of less than 1.9 dB and a return loss lower than -20 dB. And the whole structure has also been measured which achieves an insertion loss less than 2.6 dB and a return loss lower than -15dB within the filter"s passband， including the additional insertion loss introduced by the finline transitions. Finally， a W-band compact up-conversion module is designed， and the test results show that after using the proposed structure， the module achieves 95 dBc suppression of the 84 GHz local oscillator. It is also demonstrated that the structure proposed in this letter achieves miniaturization of the system integration without compromising the filter performance.