We experimentally demonstrate a novel structural long-period grating by helically coiling one microfiber onto another with the relatively thicker diameter. Owing to the strong periodic modulation of the coiled microfiber to the evanescent field of the straight microfiber, a resonance transmission notch of ~16.2 dB can be induced for a compact device length of ~450 μm only (4 helical periods). Moreover, the filtered light energy from the straight fiber can emerge again at the output of the coiled one, providing great flexibility in producing new device functions. The spectral response to external strain is investigated and wide wavelength tuning range of around 106 nm is discussed.