In this paper, we report a unique hierarchical core-shell polycaprolactone-polyaniline fiber with spinous surface structures, which is fabricated by direct in situ oxidative polymerization of aniline on the surface of porous electrospun PCL fibers. Due to the high surface area-to-volume ratio caused by the hierarchical structure, when utilized for ammonia gas sensing, the resulting core-shell fibers exhibit high sensitivity, which is far superior to that of the film or the smooth fiber counterparts. In addition, the sensor based on the current structure is extremely sensitive to the ammonia gas, which is evidenced by the fast response time (20 s) and the low detection limit (1 ppm). Moreover, the sensor not only shows good repeatability when repetitively exposing it to the ammonia gas but also exhibits good selectivity toward ammonia over other common volatile organic compounds. We thus believe the structure reported in the current study may have potential applications in the field of ammonia gas sensor.