A photopolymer-based micro-holographic sensor was developed to improve the sensitivity in sensing environmental factors. The micro-holographic grating can be formed by interference of two counter-propagating beams. The response rate and sensitivity of the micro-grating based sensor were measured. The response rate reached 0.171 nm/s in sensing relative humidity and 0.03 nm/s in sensing ethanol vapor. The corresponding maximum of the peak wavelength shifted up to 51.2 nm and 8.9 nm, respectively, for 5 min of sensing. The minimum detectable ethanol vapor concentration was as low as 10 ppm, while the sensitivity approached up to 0.179 nm/ppm. Theoretically, relating the absorption and modulation along the thickness direction, a diffusion model with nonlocal response was proposed to describe the micro-grating formation and its sensing characterization. The numerical simulation provides a significant foundation for understanding the grating formation and sensing the physical mechanism inside the materials. These results can accelerate the development and practicality of novel holographic sensing elements.