Mid-infrared optical waveguides were inscribed in sapphire with femtosecond pulses at 515 nm. We show that such pulses induce a smooth negative refractive index change allowing for the inscription of a depressed cladding waveguide by closely overlapping the corresponding type I modification traces. The resulting structure consists of a highly symmetrical, uniform, and homogeneous waveguide. The size and numerical aperture of the waveguides were tailored to achieve efficient transmission in the mid-infrared. Single mode operation at a wavelength of 2850 nm and propagation loss of <0.37  dB/cm are reported for a 33 mm long depressed cladding waveguide. Thermal annealing was performed, and the refractive index contrast was still preserved to 50% (i.e., Δn=∼2.5×10) up to 1400°C.