The oil-immersed environment within power transformers is characterized by high temperatures, strong electric fields, and severe electromagnetic interference, posing significant challenges for simultaneous multi-parameter monitoring. Conventional electrical sensors are susceptible to electromagnetic interference, whereas typical integrated fiber Bragg grating (FBG) sensors exhibit cross-sensitivity and reliability issues under such harsh operating conditions. To address these challenges, this paper proposes an integrated FBG-based sensor. Through specialized material and structural design, each sensing element is engineered to respond predominantly to its target parameter at the physical level. This approach effectively mitigates cross-sensitivity, enabling high-precision simultaneous measurement of oil temperature, pressure, and moisture content. Under simulated transformer oil conditions, the sensor achieved a temperature sensitivity of 17.1 pm/°C, a pressure sensitivity of approximately 4 nm/MPa, and a moisture sensitivity of 7.775 × 10−4 nm/%RS (equivalent to 6.37 × 10−4 nm/ppm at 40 °C). The results also confirmed excellent linearity, repeatability, and resistance to cross-sensitivity. These findings demonstrate that the proposed integrated FBG sensor can achieve stable multi-parameter measurement and effective decoupling under the tested transformer-oil conditions, indicating its potential for engineering application in transformer online monitoring.