We present the first Bragg gratings fabricated in two, three and five rings undoped PMMA microstructured polymer optical fibres (mPOFs) with relative low cost 266 nm Nd:YAG laser in the 850 nm region. The fibers were connectorised with commercial ferrules for easy coupling with silica patch cables. Temperature, humidity and strain sensitivities are measured and also the impact of ring structure and the diameter of POF on the characterization measurements are studied for potential applications. We also analyzed the effect of the number of hexagonal rings structure in gratings fabrication, noticing that larger number of rings lead to more difficulties to obtain strong gratings, where we consider this performance due to the scattering effects. We demonstrate Bragg gratings fabrication in 5-rings structure mPOF after 6 min by using 266 nm Nd:YAG laser whereas no Bragg gratings have been fabricated so far using 325 nm He-Cd laser system. Up to 30 dB relative reflected power gratings are obtained in two rings mPOF, showing good time stability and promising results for undoped mPOF applications.