We demonstrate the inscription of a 266 nm UV femtosecond pulse-induced fiber Bragg grating (FBG) in an Yb-doped fiber during optical pumping at 976 nm and the initiation of lasing with increasing grating reflectivity. Output spectra show the emission of the pumped fiber changing from the broad-ranged amplified spontaneous emission (ASE) in the non-lasing case to the narrow-range laser operation due to the enhancement of FBG reflectivity during inscription. The proposed technique enables the direct characterization and control of FBG performance in fiber lasers. After FBG fabrication, we investigate the spectral characteristics of the fiber laser for different laser powers and study the influence of a thermal treatment of the FBG.