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A directional coupler structure formed by a nematic liquid crystal (NLC)-filled photonic crystal fiber (PCF) represents a promising configuration in sensing applications. Because of large refractive index difference between the NLC and silica material, the mode coupling between the NLC waveguide and the silica core is more complicated than the situation of coupling between two fundamental modes of the waveguides. Therefore, it is necessary to perform a theoretical investigation of the mode properties associated with the experimental studies of the coupling characteristics. In this paper, we present a thorough analysis, both theoretically and experimentally, of the directional coupler structure, including the mode properties, coupling characteristics, and thermal sensing properties. The temperature response of the device is experimentally measured, showing a polynomial curve in nematic phase and a linear curve in isotropic phase. The nonlinearity of the temperature response of the device in nematic phase and the linearity in isotropic phase are attributed to the temperature dependence of the refractive index of the NLC. Specifically, the sensitivity is -3.86 nm/°C in isotropic phase of the 6CHBT with good linearity and shows good agreement with simulation results.