A novel non-enzyme cholesterol amperometric biosensor was developed based on host–guest effect of β-cyclodextrin (β-CD) for cholesterol. The thiolated β-CD monolayer is employed for the electrode modification. Subsequently, methylene blue (MB) is included in the cavity of β-CD to form an inclusion complex, resulting in a measurable electrochemical signal. In the presence of cholesterol, MB existing in the cavity of β-CD can be selectively replaced by cholesterol, which leads MB away from the electrode surface into solution and corresponding proportional reduction of the redox signal. The developed sensor was thus constructed for specific determination of cholesterol. Due to the high affinity of β-CD for cholesterol and high stability of the resulting sensing platform, the fabricated biosensor exhibited high selectivity, good sensitivity, and wide linear range from 2.0 × 10−8 to 5.0 × 10−5 M with a low detection limit of 7 × 10−9 M towards cholesterol.