Herein, we have presented the giant magneto-impedance (GMI) effect, microstructure and surface domain structure of the Co-Fe-based amorphous microwires after liquid medium—anhydrous ethanol Joule annealing (AJA). The AJA technique can effectively release the radial stress and induce large a circumferential magnetic field by changing the Joule heat transfer and the circumferential domain, to further tune the GMI performance of microwire. The linear response fields (0~3.5 Oe), the high sensitivity of 124.1%/Oe and the high GMI ratio make the microwire as promising materials for the miniaturized GMI sensors. The GMI ratios of [ΔZ/Z0]max(%) and [ΔZ/Zmax]max(%) increase the near-linearly to 201.9% and 200.5%, respectively, for the 250 mA anhydrous ethanol Joule annealed wires. Moreover, a linear response to Hex (ranging from 3.5 to 25 Oe, or more) is observed, which bears the potential in fabricating bi-sensors.