An optical fiber structure having a holey fiber arranged in a holey outer support structure made up of holey tubes encased in a thin walled outer jacket. The holey fiber may have a solid core surrounded by a holey cladding having a plurality of rings of holes. With the invention it is possible to produce robust, coated and jacketed fibers with microstructured core features of micrometer size relatively easily using existing fiber fabrication technology. This improvement is a result of the outer holey structure which reduces the thermal mass of the supporting structure and makes it possible to reliably and controllably retain small hole features during the fiber fabrication process.