In this Letter, we report the first, to the best of our knowledge, femtosecond inscription of volume Bragg gratings (VBGs) directly inside phase-mask substrates. This approach showcases enhanced robustness as both the interference pattern generated by the phase mask and the writing medium are inherently bonded together. The technique is employed with 266-nm femtosecond pulses loosely focused by a 400-mm focal length cylindrical mirror inside fused-silica and fused-quartz phase-mask samples. Such a long focal length reduces the aberrations induced by the refractive-index mismatch at the air/glass interface which allows to inscribe a refractive-index modulation simultaneously over a glass depth reaching 1.5 mm. A decreasing gradient of the modulation amplitude from 5.9 × 10-4 at the surface to 1 × 10-5 at a 1.5-mm depth is observed. This technique has therefore the potential of increasing significantly the inscription depth of femtosecond-written VBGs.