We report on the fabrication of depressed cladding waveguides inscribed by direct femtosecond laser pulses irradiation in transparent nc-yttria stabilized zirconia (YSZ) polycrystalline ceramics. The waveguides consisted of two different circular structures with diameters of 30 and 100 $\mu \text{m}$ , and different lengths. Optical characterization at 633 $\text{}$ and 1568 nm was performed. The obtained modal profiles show dependence on the structure and size of the waveguides. We estimate a laser-induced refractive index contrast of nearly 10 $^{-2}$ , larger than can be explained by induced residual stresses alone. We conjecture that laser interactions lead to localized physical damage, i.e., microvoids cracks and possibly a decreased degree of crystallinity in the laser processed zones, which is supported by Raman measurements. Our results suggest a promising potential use of nc-YSZ in photonic bio-applications.