We present experimental results on fiber Bragg gratings inscription in nanostructured graded-index (nGRIN) and multi-step index (MSIN) optical fibers, both having non-uniform radial distribution of GeO2 dopant in the fiber cores. In particular, the positive role of radial shaping the GeO2 distribution in the fiber core on grating reflection efficiency is reported. We postulate that an appropriate spatial distribution of the germanium concentration that matches the fundamental mode profile improves grating spectral response due to more efficient grating-mode interaction, as compared with uniformly doped step-index optical fibers with the same overall doping level. Moreover, we show that radially shaped fibers exhibit moderately higher temperature responses than their step-index counterparts.