Extrinsic fiber Fabry-Perot Interferometer (EFPI) sensors are difficult to install and can be damaged easily in the internal insulation of power transformers. To address this issue, a high-sensitivity EFPI sensor was designed in this study, following which an external method was proposed to install the EFPI with the oil cavity on the transformer tank. On the basis of the principle of EFPI sensors and diaphragm vibration in gas-solid media, the relationship between the EFPI detection sensitivity and its diaphragm size was first analyzed, following which the high-sensitivity sensor size was designed and manufactured. Subsequently, the cavity oil structure of the external installation was designed. The Piezoelectric ceramic Transducer (PZT) was used to build an EFPI testing system, using which the amplitude-frequency characteristics and detection sensitivity were analyzed. Finally, a board-to-board electrode and transformer model were employed to build a PD detection system, and the external EFPI and PZT sensors were enabled to detect the PD acoustic signals synchronously. The experimental results show that the first-order natural resonance frequency of the EFPI sensor is 113 kHz, and the static pressure sensitivity is 7.5 nm/kPa. Moreover, the external EFPI sensor is significantly more sensitive than the PZT sensor. The external EFPI structure is effective for ensuring protection of the sensing diaphragm, and its installation is considerably less difficult. Furthermore, potential risks are prevented when the EFPI sensor is placed in the high-voltage field strength area.