A double-thimble-type fiber Bragg grating (FBG) temperature sensor that isolates the stress strain is developed, and the three materials of air, grease, and copper thimble are employed for encapsulating. To investigate the effect of different encapsulation materials on the time constant of the sensors under dynamic conditions, the transient heat conduction mathematical model is built according to the lumped heat capacity (LHC) system and thermal equilibrium theory, and the time constant is solved by an analytical solution. Then, a proportional three-dimensional sensor simulation model is established and the transient heat transfer process is numerically solved by the finite element analysis method. To verify the models, an experimental system is established to test the response speed of the three-type sensor and the experimental data are compared with the analytical and numerical solution results. The results show that the dynamic response performance depends on the encapsulation material parameters; the response speed is faster than recovery speed; and the response speed of the air packaging sensor is more than 20% faster than that of the grease packaging sensor, and more than 30% faster than that of the copper packaging sensor. The smaller the heat storage capacity and the larger the heat transfer coefficient, the faster the sensor’s response speed.