A novel elliptical-core hollow fiber (ECHF) with high second-order nonlinearity (SON) applied in phase modulator is proposed and fabricated. A large linear electro-optic phase shift observed in the fiber has been induced by thermal poling at about 300 ℃ for 30 min with an electric field larger than 1×108 V/m and a 9-cm-length electrode. Based on ECHF an in-fiber Mach-Zehnder interferometer (MZI) is constructed, movement of interference fringe to estimate phase shift is observed. As high as 1.16 pm/V SON coefficient and 0.52 pm/V linear electro-optic (EO) coefficient are obtained. This technology is simple and versatile that can be utilized to fabricate high EO coefficient devices, which can decrease fabrication cost, and realize higher integration level of all fiber devices.