A femtosecond (fs) laser inscribed cascade structure of a fiber Bragg grating (FBG) and a gap-coupled cladding waveguide Mach-Zehnder interferometer (CWMZI) is proposed and demonstrated, which can be used to simultaneously measure temperature and relative humidity. The structure can also be used as a breathing sensor. Transmission dip wavelength of the FBG is used for the temperature monitoring based on its temperature response. Meanwhile, gap-coupled CWMZI is used for relative humidity monitoring because the gap part of the CWMZI is very close to the cladding surface, it is very sensitive to refractive changes caused by ambient humidity variations. Experiments show a temperature sensitivity of 0.01104 nm/°C in a temperature range of 20 °C to 125 °C, and a high relative humidity sensitivity response of −0.0793 nm/%RH in a relative humidity range of 50 % to 80 %. Breathing signal monitoring is also successfully demonstrated using the FBG-CWMZI cascading structure.