A micro-lens optical fiber Fabry-Pérot interferometer is demonstrated by manufacturing micro-lenses on the mirrored endfaces of two single-mode optical fibers. The mode field of the Fabry-Pérot cavity is theoretically calculated by using ABCD matrix method. The mode field of the Fabry-Pérot cavity matches that of a single-mode optical fiber very well due to the focusing of micro-lenses, thus resulting in high finesse and low insertion loss. A micro-lens optical fiber Fabry-Pérot interferometer with free spectral range of 32.28 nm, finesse of 78 and peak transmittance of 73% is experimentally demonstrated. It can maintain a peak transmittance better than 50%, even if the optical cavity length of the Fabry-Pérot cavity is increased to 100 μm. This kind of micro-lens optical fiber Fabry-Pérot interferometer is easy to build, and can be used as optical fiber Fabry-Pérot filters and high-finesse optical fiber Fabry-Pérot sensors.