A Mach–Zehnder interferometer based on processed hollow-core fiber (HCF) is proposed and experimentally demonstrated for gas pressure sensing. The fiber sensor is fabricated by splicing a segment of HCF between the two coreless fibers. One end of the HCF is processed into an open cavity, which allows gas pressure of the air-core to be equivalent to that of the external environment. Gas pressure change induces refractive index change of the air-core, thus the measurement of gas pressure can be achieved by monitoring wavelength shift of the interference pattern. The proposed fiber sensor exhibits a high gas pressure sensitivity of 9.35  nm  /  MPa in the range from 0.1 to 0.04 MPa and a temperature sensitivity of 30  pm  /    °  C in the range from 30°C to 90°C. Furthermore, the fiber sensor processes the advantages of compactness, low cost, and all-fiber configuration, which makes it suitable for gas pressure measurement.