We demonstrate a fiber in-line Mach-Zehnder interferometer based on an inner air-cavity with open micro-channel for high-pressure sensing applications. The inner air-cavity is fabricated by combining femtosecond laser micromachining and the fusion splicing technique. The micro-channel is drilled on the top of the inner air-cavity to allow the high-pressure gas to flow in. The fiber in-line device is miniature, robust, and stable in operation and exhibits a high pressure sensitivity of ∼8,239 pm/MPa.