A Hemoglobin‐CdTe‐CaCO3@polyelectrolyte 3D architecture is synthesized by a stepwise layer‐by‐layer method and is further used to fabricate an electrochemistry biosensor. While the calcium carbonate (CaCO3) microsphere acts as an effective host for the loading of cadmium telluride (CdTe) quantum dots due to its channel‐like structure, the polyelectrolyte layers further increase the loading amount and help in the formation of a thick and uniform quantum‐dot “shell”, which not only improves the stability of the spheres in water, but also contributes to the fast and effective direct electron transfer between the protein redox center and the macroscopic electrode. The materials are characterized and compared, and the possible mechanism for the direct electrochemistry phenomenon is hypothesized. Our work not only provides a facile and effective route for the preparation of quantum‐dot‐loaded spheres, but also sets an example of how the structure of functional materials can be tuned and related to their applications. In addition, it is one of the few examples of using CaCO3 microspheres in quantum‐dot loading and biosensing.