We propose a sensor based on etched double-cladding fiber (DCF) coated with nanofilm. The coupling mode, resonant wavelength and the best sensing interval can be adjusted by control of the etching time and coating thickness. The evolution of mode behaviors and refractive index (RI) sensitivity as DCF cladding thickness decreasing is theoretically analyzed. In the experiment, 2000 layers of Al2O3 nanofilms are coated on a DCF with an outer diameter of 59 μm to achieve a sensitivity of 1200 nm/RIU in the RI range from 1.336 to 1.356, in which RIU is RI unit. The RI sensitivity of proposed fiber is 24 times than that of bare DCF. The sensor has the advantages of high sensitivity, good consistency, controllable coupling mode, and customizable sensor parameters. It is expected to have great application value in biomedicine, chemical detection and so on.