Humidity induced change in the refractive index and thickness of the polyethylene glycol (PEG) coatings are in situ investigated for a range from 10 to 95%, using an optical waveguide spectroscopic technique. It is experimentally demonstrated that, upon humidity change, the optical and swelling characteristics of the PEG coatings can be employed to build a plastic fibre optic humidity sensor. The sensing mechanism is based on the humidity induced change in the refractive index of the PEG film, which is directly coated onto a polished segment of a plastic optical fibre with dip-coating method. It is observed that PEG, which is a highly hydrophilic material, shows no monotonic linear response to humidity but gives different characteristics for various ranges of humidity levels both in index of refraction and in thickness. It undergoes a physical phase change from a semi-crystalline structure to a gel one at around 80% relative humidity. At this phase change point, a drastic decrease occurs in the index of refraction as well as a drastic increase in the swelling of the PEG film. In addition, PEG coatings are hydrogenated in a vacuum chamber. It is observed that the hydrogen has a preventing effect on the humidity induced phase change in PEG coatings. Finally, the possibility of using PEG coatings in construction of a real plastic fibre optic humidity sensor is discussed.