An in-fiber Mach-Zehnder interferometer (MZI) based on dual side-hole fiber (DSHF) was demonstrated for highly sensitive measurement of curvature. The MZI-based bending sensor is fabricated by fusion splicing a piece of DSHF in between two standard single mode fibers (SMF) with cladding alignment. Due to the existence of the two air holes and the asymmetrical cross-section of the DSHF, the DSHF-based MZI is a core-cladding interferometer which is sensitive to directional bending. The bending characteristics are investigated experimentally within the curvature range of 0–8.172m−1. The bending sensitivities of the sensor are respectively 1.464 nm/m−1 and −1.394 nm/m−1 at their two opposite bending directions.