A double-clad fiber Bragg grating (DCFBG) is a kind of grating which is directly written into the core of a double-clad fiber (DCF). Because of its special structure, DCFBGs have potential applications in fiber communication and sensing. In this paper, some of the recent studies on DCFBG are reviewed, and the photosensitivity and thermal decay of DCFBG fabricated in different DCFs are investigated. The DCFBGs of diversiform reflectivity are fabricated, and the maximum reflectivity of the grating is 99.9%. Finally, the special characteristics of DCFBG, such as nonlinear and stress, are illustrated.