•Femtosecond laser can realize the production of true three-dimensional structure due to its small heat-affected area, high processing accuracy and efficiency.•Femtosecond lasers are used to fabricate Fabry-Perot interferometer (FPI), Mach-Zehnder interferometer (MZI), fiber Bragg grating (FBG), the combination structure of FPI-FBG and MZI-FBG.•The manufacturing process, repeatability, size, sensitivity, stability, cross-sensitivity, mechanical stability, etc. are compared with the traditional sensor made without femtosecond laser.•The development trend and future expectations of optical fiber sensor with microstructures fabricated by femtosecond lasers are discussed. In order to break through the accuracy limits of traditional processing technology and research microscopic phenomena, the sensing structures are fabricated by femtosecond (fs) laser micro-machining technology based on different sensing principles. Fs laser can realize the production of true three-dimensional structure due to its small heat-affected area, high processing accuracy and efficiency, so that it can achieve multi-parameter, high-precision simultaneous measurement on an optical fiber sensor with a smaller size. The application of fs laser increases the flexibility of the sensing structure and improves the key performance indicators of optical fiber sensors. With its excellent performance, the research interest of some scholars is aroused. In this review, the following are studied: firstly, fs lasers are used to fabricate Fabry-Perot interferometer (FPI), Mach-Zehnder interferometer (MZI), fiber Bragg grating (FBG), the combination structures of interferometer and FBG (CI and FBG); secondly, the manufacturing process, repeatability, size, sensitivity, stability, cross-sensitivity, mechanical stability, etc. are compared with the traditional sensor made without fs laser; finally, according to the current development trend of optical fiber sensing devices, the development trend and future expectations of optical fiber sensor with microstructures fabricated by fs lasers are also discussed.