During the past decades, femtosecond laser micro-fabrication has gained growing interests owing to its several unique features including direct and maskless fabrication, flexible choice of materials and geometries, and truly three-dimensional fabrication. Moreover, fiber-optic sensors have demonstrated distinct advantages over traditional electrical sensors such as the immunity to electromagnetic interference, miniature footprint, robust performance, and high sensitivity. Therefore, the marriage between femtosecond laser micro-fabrication and optical fibers have enabled and will continue to offer vast opportunities to create novel structures for sensing applications. This dissertation focuses on design, fabrication and characterization of optical-fiber based interferometric devices for sensing applications. Three novel devices have been proposed and realized, including point-damage-based Fiber Bragg gratings in single-crystal sapphire fibers, all-sapphire fiber-tip Fabry-Pérot cavity, and in-fiber Whispering-Gallery mode resonator