Supercritical CO₂ fluid (scCO₂) with gas-like diffusivity, low viscosity, and near-zero surface tension can help debundle graphene nanosheets and uniformly disperse Pd nanocrystals (approximately 3 nm) between them. The in situ synthesis protocol of Pd (from scCO₂), which does not require pretreatment of the support, preserves the peculiar characteristics of graphene, such as the excellent electrical conductivity. The deposited Pd nanoparticles (NPs) can act as spacers to prevent restacking of the graphene nanosheets. Since the Pd catalyst particles are sandwiched between the highly conductive sheets, a superior electrochemical utilization can be achieved. The obtained Pd/graphene nanocomposite exhibited superior sensing performance (in terms of response current and potential resolution) toward ascorbic acid, dopamine, and uric acid, compared to that of Pd/graphene prepared using a conventional process. Promising detection sensitivity and selectivity of various scCO₂-synthesized NPs/graphene heterostructures for various biological analytes can be expected.