We describe an ionic liquid modified electrode (CPE-IL) for sensing hydrogen peroxide (HP) that was modified by the layer-by-layer technique with myoglobin (Mb). In addition, the surface of the electrode was modified with CeO2 nanoparticles (nano-CeO2) and hyaluronic acid. UV-vis and FTIR spectroscopy confirmed that Mb retains its native structure in the composite film. Scanning electron microscopy showed that the nano-CeO2 closely interact with Mb to form an inhomogeneously distributed film. Cyclic voltammetry reveals a pair of quasi-reversible redox peaks of Mb, with the cathodic peak at −0.357 V and the anodic peak at −0.269 V. The peak separation (ΔE p) and the formal potential (E 0′) are 88 mV and −0.313 V (vs. Ag/AgCl), respectively. The Mb immobilized in the modified electrode displays an excellent electrocatalytic activity towards HP in the 0.6 to 78.0 μM concentration range. The limit of detection is 50 nM (S/N = 3), and then the Michaelis-Menten constant is 71.8 μM. We believe that such a composite film has potential to further investigate other redox proteins and in the fabrication of third-generation biosensors.