In this paper, we review our recent work on multi-parameter harsh environment sensing using asymmetric Bragg gratings inscribed by IR femtosecond irradiation, which includes the investigations of fiber Bragg gratings inscribed by graded-index silica multimode fibers and polarization maintaining (PM) single mode fibers. The unique features of this type of grating are: (1) formed by multi-photon ionization, this kind of grating can withstand temperature as high as 1000 °C, which makes it suitable for harsh environment sensing; (2) bending (or pressure, strain) and ambient temperature fluctuations affect the shapes of multiple transmission dips in different ways, which enables multi-parameter sensing capability. The principle of multi-parameter sensing of the multimode fiber gratings is based on the fact that multimode fiber gratings have multiple resonant dips in spectrum and the change of spectral shape is different for different types of perturbations (e.g., temperature and pressure). The main challenge of sensing using multimode fiber is that the shape of spectrum also depends on the excitation condition, which makes the analysis of the sensing data complicated. On the other hand, the PM single mode fiber supports only two linearly polarized modes, which results in two resonant dips in the transmission spectrum. Since measured parameters such as the temperature and bending affect the transmission spectrum of two dips in different ways, one can implement multi-parameter sensing in harsh environment using PM fiber. Note that it is much easier to analyze the data of two dips (in the case of PM fibers) instead of multiple dips (in the case of multimode fibers). Finally, we also investigate the ultra thin multimode and PM single mode harsh environment fiber gratings for multi-parameter sensing applications. After etching the most part of the cladding, both multimode and PM single mode fiber grating spectra become sensitive to ambient refractive index changes, and their sensitivity to bending and strain is also enhanced. This enables the application for multi-parameter chemical/bio and pressure sensing.