Research and development in photonic micro/nano devices and structures have experienced a significant growth in recent years, fueled by their broad applications as sensors for in situ measurement of a wide variety of physical, chemical and biological quantities. Recent advancement in ultrafast and ultra-intense pulsed laser technology has opened a new window of opportunity for one-step fabrication of micro- and even nano-scale 3D structures in various solid materials. When used for fabrication, fs lasers have many unique advantages such as negligible cracks, minimal heat-affected-zone, low recast, and high precision. These advantages enable the unique opportunity to fabricate integrated sensors with unprecedented performance, enhanced functionalities and improved robustness. This paper summarizes our recent research progresses in the understanding, design, fabrication, characterization of various photonic sensors for energy, defense, environmental, biomedical and industry applications. Femtosecond laser processing/ablation of various glass materials (fused silica, doped silica, sapphire, etc.) is discussed towards the goal of one-step fabrication of novel photonic sensors and new enabling photonic devices. A number of new photonic devices and sensors are also presented.