In this paper, a review of microstructured optical fiber (MOF) sensors is given. Various kinds of MOFs are described and their sensing applications are summarized. Two main types of MOF sensors in terms of grating based and interferometry based are reviewed. In particular, several types of microstructured optical fibers designed for sensing applications in our works are demonstrated, including the measurement of physical parameters, e.g., pressure, strain, torsion, temperature, and the detection of biomedical parameters such as refractive index and microfluidic flow rate. The basic design principles of MOF sensors based on fiber Bragg grating and interferometers are given. Comparisons of the performances of the fibers and sensors are also conducted according to the relevant topics.