In the quest of finding the ideal polymer optical fiber (POF) for Bragg grating sensing, we have fabricated and characterized an endlessly single mode microstructured POF (mPOF). This fiber is made from cyclo-olefin homopolymer Zeonex grade 480R which has a very high glass transition temperature of 138 °C and is humidity insensitive. It represents a significant improvement with respect to the also humidity insensitive Topas core fibers, in that Zeonex fibers are easier to manufacture, has better transmittance, higher sensitivity to temperature and better mechanical stability at high temperature. Furthermore, Zeonex has very good compatibility with PMMA in terms of dilatation coefficients for co-drawing applications. The Zeonex mPOF has a core and cladding diameter of 8.8 µm and 150 µm, respectively, with a hole to pitch ratio of 0.4 and a minimum propagation loss of 2.34 ± 0.39 dB/m at 690.78 nm. We have also inscribed and characterized fiber Bragg gratings (FBGs) in Zeonex mPOFs in the low loss 850 nm spectral band.