A novel sandwich-type electrochemical aptasensor based on supramolecularly immobilized affinity bioreceptor was prepared via host–guest interactions. This method utilizes an adamantane-modified, target-responsive hairpin DNA aptamer as a capture molecular receptor, along with a perthiolated β-cyclodextrin (CD) covalently attached to a gold-modified electrode surface as the transduction element. The proposed sensing strategy employed an enzyme-modified aptamer as the signalling element to develop a sandwich-type aptasensor for detecting prostate-specific antigen (PSA). To achieve this, screen-printed carbon electrodes (SPCEs) with electrodeposited reduced graphene oxide (RGO) and gold nanoferns (AuNFs) were modified with the CD derivative to subsequently anchor the adamantane-modified anti-PSA aptamer via supramolecular associations. The sensing mechanism involves the affinity recognition of PSA molecules on the aptamer-enriched electrode surface, followed by the binding of an anti-PSA aptamer–horseradish peroxidase complex as a labelling element. This sandwich-type arrangement produces an analytical signal upon the addition of H2O2 and hydroquinone as enzyme substrates. The aptasensor successfully detected the biomarker within a concentration range of 0.5 ng/mL to 50 ng/mL, exhibiting high selectivity and a detection limit of 0.11 ng/mL in PBS.