An all-sapphire high-temperature optical fiber sensor with an extrinsic Fabry–Perot interferometer (EFPI) structure is proposed and experimentally demonstrated. The EFPI structure of the sensor is composed of a sapphire ferrule with a sapphire fiber and a polished solid sapphire crystal rod. The first reflection occurs on the left end of the sapphire ferrule, and the second reflection occurs on the right end of the sapphire rod, forming double-beam interference. The interference signal is picked up by the sapphire fiber and transmitted to the white light interferometric demodulator by the multimode fiber. The picked-up signal is demodulated by the Fourier transform and interference algorithms. Experimental results show that the temperature response of the sensor is quadratic, and that the sensitivity changes linearly with a temperature range from room temperature to 1500 °C. The first-order thermal expansion coefficient and the second-order thermal expansion coefficient are 5.4575 × 10−6 °C−1 and 7.3755 × 10−9 °C−2, respectively. The thermal expansion coefficient is linearly related to temperature. Due to its all sapphire structures, this sensor solves the problem of thermal expansion coefficient mismatch, which was observed in a previous sensor made of sapphire and ceramic materials. In addition, it improves the high-temperature resistance, so it can be fully qualified for long-term high-temperature measurements above 1000 °C–1500 °C.