We develop a novel strategy for the biosensing application of hydrogen peroxide (H₂O₂) using nanoscaled Au–horseradish peroxidase (HRP) composite thin film synthesized by a liquid–liquid interface reaction. Through the interaction between Au nanoparticles and NH₂-terminated HRP, HRP is effectively combined with Au in the thin film. The nanocomposite membrane is extracted on the surface of the ITO electrode directly, retaining its bioactivity during the immobilization process, which can detect the substrate in situ. The immobilized HRP displays an excellent electrocatalytic response to the reduction of H₂O₂, with a fast amperometric response (within 5 s), wide linear range (7.9 μM to 3.6 mM), low detection limit (0.035 μM), and a good affinity (K^app_m = 0.14 mM) to H₂O₂. The prepared biosensor also exhibits high sensitivity, good reproducibility and long-term stability. Furthermore, it can be successfully exploited for the determination of H₂O₂ released from living cells directly adhered on the modified electrode surface.