Black phosphorus nanosheets (BPNSs) were synthesized with liquid exfoliation combined with the ultrasonic method and loaded with Fe3+ by simply mixing. The morphology, structure and electrochemical properties of the synthesized Fe3+/BPNSs were characterized by transmission electron microscopy (TEM), atomic force microscopy (AFM), Raman spectroscopy, X-ray photoelectron spectroscopy (XPS) and cyclic voltammetry (CV), etc. The load of Fe3+ can improve the electrochemical performance of BPNSs and enhance the sensitivity of the detection. Additionally, Fe3+/BPNSs display good biocompatibility. In this study, immunosensors based on Fe3+/BPNSs were constructed to detect alpha-fetoprotein (AFP). The detection is due to the specific binding between the AFP antigen and antibody on the surface of the immunosensors, which can reduce the current response of Fe3+/BPNSs. The immunosensors have a good linear relationship in the range of 0.005 ng·mL−1 to 50 ng·mL−1, and the detection limit is 1.2 pg·mL−1. The results show that surface modification with metal ions is a simple and effective way to improve the electrochemical properties of BPNSs, which will broaden the prospects for the future application of BPNSs in the electrochemical field.