Optical Mach-Zehnder interferometers (MZIs) are useful components in a variety of optical applications, including optical modulation; signal processing; and physical, chemical, and biological sensing. We introduce here a novel, assembly-free all-in-fiber-core MZI, which is directly written with a femtosecond laser. By introducing a positive refractive index-modified zone in half of the fiber core, the original single-mode fiber section is converted into a few-mode fiber section, where a strong coupling between the two lowest-order guided modes is generated, resulting in a well-defined interference spectrum in transmission. This device promises many significant advantages over existing approaches such as ease of fabrication, stability, small insertion loss, robustness extremely broad operating bandwidth, and precise and controllable cavity lengths. These advantages make this device strikingly attractive with the potential for extensive adoption in fiber communications, signal processing, sensors, and laser wavelength control.