Fiber Bragg grating (FBG) is the most widely used optical fiber sensor due to its compact size, high sensitivity, and easiness for multiplexing. Conventional FBGs fabricated by using an ultraviolet (UV) laser phase-mask method require the sensitization of the optical fiber and could not be used at high temperatures. Recently, the fabrication of FBGs by using a femtosecond laser has attracted extensive interests due to its excellent flexibility in creating FBGs array or special FBGs with complex spectra. The femtosecond laser could also be used for inscribing various FBGs on almost all fiber types, even fibers without any photosensitivity. Such femtosecond-laser-induced FBGs exhibit excellent thermal stability, which is suitable for sensing in harsh environment. In this review, we present the historical developments and recent advances in the fabrication technologies and sensing applications of femtosecond-laser-inscribed FBGs. Firstly, the mechanism of femtosecond-laser-induced material modification is introduced. And then, three different fabrication technologies, i.e., femtosecond laser phase mask technology, femtosecond laser holographic interferometry, and femtosecond laser direct writing technology, are discussed. Finally, the advances in high-temperature sensing applications and vector bending sensing applications of various femtosecond-laser-inscribed FBGs are summarized. Such femtosecond-laser-inscribed FBGs are promising in many industrial areas, such as aerospace vehicles, nuclear plants, oil and gas explorations, and advanced robotics in harsh environments.