A laminated gas sensor for exhaust gases improving thermal shock resistance, durability and reliability without permitting characteristics of the exhaust gas sensor to be particularly lowered is provided. A laminated gas sensor comprising a solid electrolyte layer (4) formed on one surface of a substrate (1) holding a lower electrode layer (3) therebetween, and an upper electrode layer (5) on the solid electrolyte layer (4), wherein the substrate (1) is a dense substrate made of at least one substrate material selected from silicon nitride, silicon carbide and aluminum nitride, and, as required, a thermal expansion buffer layer (8) is provided between the substrate (1) inclusive of at least part of the lower electrode layer (3) and the solid electrolyte layer (4), and the difference is not more than 5 ppm/° C. between the coefficient of thermal expansion of the solid electrolyte layer (4) and the coefficient of thermal expansion of the substrate (1) that comes in contact with at least part of the solid electrolyte layer (4) or of the thermal expansion buffer layer (8), and a method of producing the same.