A novel long-period fiber grating (LPFG) film methane sensor is designed and applied successfully. The sensor is constructed by depositing a thin styrene-acrylonitrile (SAN) film containing the new compound cryptophane-E-(OEt)6 onto the cladding surface of the LPFG. This film is sensitive to methane gas. Methane causes a change in the refractive index of the sensing film, which can be measured by shifting the resonance wavelength. Experimental results show that the resonant wavelength shifts to the longer wavelength, with increasing methane concentration at a range of 0.0%–3.5% (v/v). A linear relationship is obtained within the test range. Detection limit is estimated at 0.2%, and response time is 60 s. No significant interference is detected from dry air, O2, CO, CO2, and H2. This novel methane sensing material has great application potential due to its advantages.