We herein report the synthesis of glucose oxidase-encapsulated nanogold hollow microspheres (GOx–GHS), which show excellent catalytic performance for the reduction reaction of glucose, and the nanogold on the GOx–GHS provided the nanoparticles with good biocompatibility. In addition, the electrochemiluminescence (ECL) property of luminol was investigated and a type of luminol nano-composite (AuNPs–EGN–luminol) was prepared. The as-prepared nano-composite was found to have good ECL property of the luminol, as well as good electroconductibility. The prepared GOx–GHS and AuNPs–EGN–luminol were applied in a sandwich-type ECL immunosensor for cancer antigen 125 (CA125). In the immunosensor, AuNPs–EGN–luminol acted as a solid support for CA125 primary antibody, and GOx–GHS was employed as the supporter of CA 125 secondary antibody. With the addition of glucose, the hydrogen peroxide was prepared and the ECL property of the AuNPs–EGN–luminol was enhanced. The proposed immunosensor enabled CA125 concentrations to be determined in the range of 1 pg mL⁻¹ to 100 ng mL⁻¹, with a detection limit of 0.38 pg mL⁻¹.