The recent progresses of fiber sensor fabrication in our group are reviewed. Novel inline fiber Mach-Zehnder interferometer (MZI) sensors with various structures are proposed and manufactured by femtosecond laser fabrication and fusion splicing for high-quality sensing of refractivity-sensitive parameters such as temperature, concentration, humidity, pressure, stress and strain: a) for an MZI sensor with a trench on a single-mode fiber, the refractive index (RI) sensitivity of acetone vapor is about 104 nm/RIU (refractive index unit) and the temperature sensitivity is 51.5 pm/℃ from 200 to 875 ℃; b) For an MZI consisting of two micro-air-cavities, the sensitivity is 501.5 nm/RIU and the detection limit is 1.994×10-6 RIU at the refractive index of 1.4; c) to reduce the fabrication cost, a new fusion-splicing based method is proposed to fabricate MZI sensors; the sensitivity is 664.57 nm/RIU with a detection limit of 1.5×10-6 RIU and its cost is tens of times cheaper than those of commercialized long period fiber Gratings; Also, 5×10-5 acetone vapors are successfully detected by the MZI sensors coated with zeolite thin films.