An all-sapphire fiber external Fabry-Perot interferometer (EFPI) sensor for measuring gas pressure is proposed and investigated. The sensor head is manufactured from a sapphire fiber ferrule and sapphire tube, and the same material can ensure the stability of the sensor structure at a high temperature. The refractive index of the gas is linearly related to the gas pressure. Therefore, the gas pressure can be measured by studying the optical cavity length of the EFPI. A multi-stage coupled multimode fiber is used to pick up the interference signal of the fiber EFPI. The pressure response of the sensor at different temperatures was measured in the experiment. The experimental results show that the sapphire fiber EFPI can measure 0-5 MPa gas pressure in the environment of 17-1400°C. The sensitivity of the sensor decreases with the increasing temperature, and the maximum sensitivity is 1.1673 µm/MPa (20°C). The sensor is compact and suitable for gas pressure measurement at a high temperature.