A highly sensitive and temperature-compensated methane sensor based on a liquid-infiltrated photonic crystal fiber (PCF) is proposed. Two bigger holes near the core area are coated with a methane-sensitive compound film, and specific cladding air holes are infiltrated into the liquid material to form new defective channels. The proposed sensor can achieve accurate measurement of methane concentration through temperature compensation. The sensitivity can reach to 20.07 nm/% with a high linearity as the methane concentration is within the range of 0%–3.5% by volume. The proposed methane sensor can not only improve the measurement accuracy, but also reduce the metrical difficulty and simplify the process.