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 / Doctor of Philosophy / Optical fibers are an optical platform with cylindrical symmetry with overall diameter typically within 50 to 500 μm. The miniature footprint and large aspect ratio make it attractive in sensing applications, where intrusion, flexibility, robustness and small size are key design parameters. Beyond that, fiber-optic sensors also possess distinct operational advantages over traditional electrical sensors such as high sensitivity, immunity to electromagnetic interference (EMI), and fully distributed deployment. Owing to the above advances, fiber-optic sensors have been one of the key technologies in the broader sensing field for the past decades. However, the unique cylindrical shape of optical fiber makes it naturally less compatible to those well-developed fabrication technologies in the current sophisticated semiconductor industry. During the past decades, the possibility of three-dimensional (3D) writing inside transparent materials with tightly focused ultrafast laser pulses has attracted attention widely among the academy as well as the industry. Therefore, the marriage between ultrafast 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.