We demonstrate the fabrication of long-period fiber gratings (LPFGs) coated with high index nano-film using the atomic layer deposition (ALD) technology. Higher index sensitivity can be achieved in the transition region of the coated LPFGs. For the LPFG coated by nano-film with a thickness of 100 nm, the high index sensitivity of 3000 nm/RIU and the expanded index sensitive range are obtained. The grating contrast of the over-coupled LPFGs and conventional LPFGs are measured and the over-coupled gratings are found to have a higher contrast in the transition region. The cladding modes transition is observed experimentally with increasing surrounding index using an infrared camera. The theoretical model of the hybrid modes in four-layer cylindrical waveguide is proposed for numerical simulation. The experimental results are well consistent with theoretical analysis.