We develop a hybrid optofluidic microcavity by placing a microsphere with a diameter ranging from 1 to 4 μm in liquid-filled plano-plano Fabry–Perot (FP) cavities, which can provide an extremely low effective mode volume down to 0.3–5.1 μm3 while maintaining a high Q-factor up to 1×104–5×104 and a finesse of ～2000. Compared to the pure plano-plano FP cavities that are known to suffer from the lack of mode confinement, diffraction, and geometrical walk-off losses as well as being highly susceptible to mirror misalignment, our microsphere-integrated FP (MIFP) cavities show strong optical confinement in the lateral direction with a tight mode radius of only 0.4–0.9 μm and high tolerance to mirror misalignment as large as 2°. With the microsphere serving as a waveguide, the MIFP is advantageous over a fiber-sandwiched FP cavity due to the open-cavity design for analytes/liquids to interact strongly with the resonant mode, the ease of assembly, and the possibility to replace the microsphere. In this work, the main characteristics of the MIFP, including Q-factor, finesse, effective mode radius and volume, and their dependence on the surrounding medium’s refractive index, mirror spacing, microsphere position inside the FP cavity, and mirror misalignment, are systematically investigated using a finite-element method. Then, by inserting dye-doped polystyrene microspheres of various sizes into the FP cavity filled with water, we experimentally realize single-mode MIFP optofluidic lasers that have a lasing threshold as low as a few microjoules per square millimeter and a lasing spot radius of only ～0.5 μm. Our results suggest that the MIFP cavities provide a promising technology platform for novel photonic devices and biological/chemical detection with ultra-small detection volumes.