Optical sensors, compared with electric ones, perform well in harsh conditions, for example, strongly elevated temperatures, hazardous chemicals, and flammable environments. Their (usually) high sensitivities make them attractive for a variety of measurands, such as pressure. Here, an optical differential pressure sensor with Bragg gratings embedded in a glass membrane is demonstrated, using femtosecond laser direct writing (FLDW) technology. With its 3-D capabilities, two Bragg gratings are fabricated in the center of the membrane, close to the top and bottom surfaces, respectively. These Bragg gratings are read out using an evanescent coupler where each arm is followed by out-of-plane S-bends. The mechanical sensitivity and dynamic range of the sensor can be tuned by optimizing the membrane diameter and thickness. Here, a design with a 0.5-and 0.1-mm-thick, 20-mm-diameter membrane was chosen as demonstrators. Differential sensitivities of 1850 and 506 pm Bragg wavelength shift per bar are reported for the thinner and thicker membranes, respectively. Assuming a resolution of 1 pm of the interrogator, pressure differences as low as 0.5 mbar can be measured. It is confirmed that both the Bragg gratings exhibit the same dependence on thermal changes with a Bragg wavelength sensitivity shift of 10 pm degree celsius(-1), making the sensor capable of differentiating pressure and thermal changes.