A novel optic-fiber intensity-modulated carbon monoxide (CO) gas sensor based on cerium dioxide (CeO2) sensing film which coated thin-core fiber (TCF) was proposed and fabricated. Single-mode fiber (SMF), no-core fiber (NCF) and TCF are symmetrically spliced to form a SMF-NCF-TCF-NCF-SMF Mach-Zehnder interference structure. The crystal structure, surface morphology and composition of CeO2 sensing membrane have been characterized by using X-ray diffraction, X-ray photoelectron spectroscopy, scanning electron microscope, high resolution transmission electron microscopy, high-angle annular dark-field and energy dispersive spectrum. The sensing film with the porous appearance can be successfully achieved by the hydrothermal reaction and dip-coating method. While the CO concentration is ranging from 0 to 70 ppm, the sensitivity and detection limit of the optic-fiber CO gas sensor are, respectively, 0.03224 dB/ppm and 0.07630 ppm, and it has a good linearity (0.99127) and almost insensitive to temperature. The response time and recovery time are about 40 s and 47 s, respectively. The surface adsorption and desorption sensing mechanism has been discussed in detail. In addition, CO can be detected by the sensor with unexceptionable selectivity, which has also been verified by the surface adsorption energy results between CeO2 and seven gases, i.e., oxygen (O2), carbon dioxide (CO2), argon (Ar), ammonia (NH3), nitrogen (N2), hydrogen sulfide (H2S) and carbon monoxide (CO). This sensor is simple in structure, and easy to manufacture. It has a good application prospect in the toxic CO monitoring.