We demonstrate the fabrication of single-mode helical Bragg grating waveguides (HBGWs) in a multimode coreless fiber by using a femtosecond laser direct writing technique. This approach provides a single-step method for creating Bragg grating waveguides. Specifically, the unique helical structure in such an HBGW serves as a depressed cladding waveguide and also generates strong Bragg resonance due to its periodicity. Effects of pulse energy, helical diameter, and helical pitch used for fabricating HBGWs were studied, and a single-mode HBGW with a narrow bandwidth of 0.43 nm and a Bragg wavelength of 1546.50 nm was achieved by using appropriate parameters, including a diameter of 10 μm and a helical pitch of 1.07 μm. The measured cross-sectional refractive index profile indicates that a depressed cladding waveguide has been created in this single-mode HBGW. Moreover, five single-mode HBGWs with various Bragg wavelengths were successfully fabricated by controlling the helical pitch, and this technique could be used for achieving a wavelength-division-multiplexed HBGW array. Then, the temperature and strain responses of the fabricated single-mode HBGW were tested, exhibiting a temperature sensitivity of 11.65 pm/°C and a strain sensitivity of 1.29 pm/με, respectively. In addition, the thermal stability of the single-mode HBGW was also studied by annealing at a high temperature of 700°C for 15 h. The degeneration of the single-mode waveguide into a multimode waveguide was observed during the isothermal annealing process, and the peak reflection and the Bragg wavelength of the fundamental mode exhibited a decrease of $\sim 7\mathrm{dB}$ and a “blue” shift of 0.36 nm. Hence, such a femtosecond laser directly written single-mode HBGW could be used in many applications, such as sapphire fiber sensors, photonic integrated circuits, and monolithic waveguide lasers.