A unique type of refractive index (RI) sensor is proposed using a dual Mach-Zehnder interferometer (MZI) structure based on side-hole fibers (SHFs). The MZI structure contains two single-mode fibers (SMFs), two coreless fiber (CLF) sections and an SHF section, which are spliced together in the order of SMF-CLF-SHF-CLF-SMF. The SMFs and the CLFs enable light lead in/out and beam splitting/combining, respectively. As a special feature of the structure, one hole of SHF is exposed for liquid filling and to form two MZIs as well. Three types of sensors are fabricated, namely S1, S2 and S3. Numerical simulation and experimental studies have been conducted to characterize the sensing performance. The RI sensitivity of the S1 using the ∼550 μm long SHF section reaches 14,000 nm/RIU. When a shorter SHF section is used in S2, the detectable RI range is broadened due to larger FSR. When the closed hole of SHF in S3 is filled with liquid to introduce the Vernier effect, the sensitivity can be further enhanced to over 44,000 nm/RIU (i.e., Refractive Index Unit), which corresponds to the detection limit at the level of 1.0 × 10 −5 RIU. This sensor design is original and easy to package, which gives it potential for label-free biochemical analyses.