Design of optical fiber structure and sensitive material coating are two effective performance improvement approaches for fiber optic surface plasmon resonance (SPR) sensors. Here, a tungsten diselenide (WSe2) modified U-shaped fiber optic SPR sensor is proposed. It is found that the sensing performances of the proposed U-shaped probe can be controlled with the thickness of gold film, WSe2 layers, and bending radius of the U-shaped fiber. A sensitivity of 27520 nm/RIU (RIU: refractive index unit) is obtained with the optimized U-shaped probe, which is about 11.56-fold and 12.29-fold improvements over the traditional in-line transmission fiber optic SPR sensors without WSe2 coating and with monolayer WSe2, respectively. These results demonstrate a promising approach for sensitivity improvement of fiber optic SPR sensors, and the proposed WSe2 modified U-shaped fiber optic SPR sensor may have prospective potential applications in biological sensing, chemical sensing, and environmental monitoring.