A nanocomposite was prepared by physical adsorption of (cationic) methylene blue (MB) on (anionic) sodium dodecylsulfate (SDS) that was wrapped on multiwalled carbon nanotubes (MWCNTs) on the surface of a glassy carbon electrode. This electrostatic interaction enables electrical communication between the electrode and analyte. Horseradish peroxidase was then immobilized in a film of gelatin on the nanocomposite to form a biosensor for hydrogen peroxide. Scanning electron microscopy, transmission electron microscopy, Fourier transform infrared and UV–vis spectrometry, and cyclic voltammetry were applied to characterize the electrode. The addition of both MWCNTs and MB causes a synergistic effect and leads to a large signal enhancement. The prepared nanocomposite material modified sensor shows better response in presence of several interferences. The biosensor has detection limit of 5 nM of hydrogen peroxide (at S/N = 3) with a linear response between 0.2 μM and 1.4 mM. Its lifetime is >4 months under dry conditions at 4 °C.