In this paper, we propose a small-diameter polarization-maintaining solid-core photonic crystal fiber. The coating diameter, cladding diameter and other key parameters relating to the thermal properties were studied. Based on the optimized parameters, a fiber with a Shupe constant 15% lower than commercial photonic crystal fibers (PCFs) was fabricated, and the transmission loss was lower than 2 dB/km. The superior thermal stability of our fiber design was proven through both simulation and measurement. Using the small-diameter fiber, a split high precision fiber optic gyro (FOG) prototype was fabricated. The bias stability of the FOG was 0.0023 °/h, the random walk was 0.0003 °/h, and the scale factor error was less than 1 ppm. Throughout a temperature variation ranging from −40 to 60 °C, the bias stability was less than 0.02 °/h without temperature compensation which is notably better than FOG with panda fiber. As a result, the PCF FOG is a promising choice for high precision FOG applications.