MatLab uses the standard definition of 1 PostScript Point (or "Desktop Publishing Point") = 1/72 inches.
(You can confirm this easily by exporting a figure with, say, a line with 'LineWidth' equal to 36. If you print that without scaling, the line on the paper will be 1/2 inch wide)
So if you want a line of 0.2 mm, you can set the line width to 0.567 or so:
h = plot([0 0],[0 1]);
set(h,'LineWidth',0.567);
and if you want to set that as the default line width for all your plots:
set(0,'defaultlinelinewidth',0.567)
for a single session, or put into your startup.m file to set it permanently.
In response to @szymon-bęczkowski: with 2014b and later, there seems to be a bug in Matlab that sets the linewidth to a minimum value of 1 when exporting to EPS or PDF. See here for a related bug. So the 'workaround' as it is, is to stick to linewidth>=1.
Although it doesn't seem to work there either, I strongly recommend export_fig as an alternative to Matlab's built it printing capabilities.