Micro-trench was fabricated into the cladding of fiber Bragg grating (FBG), and FBG sensors sensitivity was improved, with its sensing application field broadened. Type I fiber Bragg grating structure damage was induced by focused femtosecond (fs) laser to form inscribed micro-structured fiber. Fiber surface and internal structure damages due to refractive index change by modulating the laser power and irradiation time were also investigated, with the effect of fs laser on the morphology of micro-trench and reflectivity spectrum of FBG discussed as well. The morphological results showed that, the surface of micro-trench had many pimples due to solidification of debris, and the pimples were growing with increasing laser energy. The depth of the groove and shape obeyed Gaussian energy distribution. Meanwhile the reflectivity spectrum was red shifted permanently and the bandwidth increased with growing laser power and irradiation time. Using the sensitization performance of micro-structured optical fiber, the sensing properties of the micro-structured fiber grating magnetic field probe and the hydrogen gas probe can be improved effectively.