Photonic crystal fibers (PCFs) have brought tremendous advancements due to their predominant features of peculiar air-holes arrangement in two-dimentional direction. Functional materials like metals, magnetic fluids, nematic liquid crystals, graphene and so on, are extensively adopted to integrate with PCFs to get extraordinary transmission properties. This review takes the development stages of photonic devices based on functional materials-infiltrated PCFs into consideration, covering the overview of common materials and their photoelectric characteristics, the state-of-art infiltrating/coating techniques, as well as the corresponding applications involving polarization filtering and splittering devices in optical communication and sensing elements related to multiple parameters measurement. The cladding air hole of PCFs provides a natural optofluidic channel for materials being introduced, light-matter interaction being enhanced, and transmission properties being extended, where a lab on a fiber are able to be proceeded. It paves a space for the development of photonic devices in the aspects of compact, multi-functional integration, and electromagnetic resistance as well. According to surface plasmon resonance, the property of tunable refractive indices, and the flexible geometry structures, it comes up to some representative researches on polarization filters, multiplexer-demultiplexers, splitters, couplers and sensors, making a candidate for widespread fields of telecommunication, signal-capacity, and high-performance sensing.