In this work, a new hydrogen peroxide (H2O2) electrochemical sensor was fabricated. Prussian blue (PB) was electrodeposited on a glassy carbon (GC) electrode modified with zirconia doped functionalized carbon nanotubes (ZrO2-fCNTs), (PB/ZrO2-fCNTs/GC). The morphology and structure of the nanostructured system were characterized by scanning and transmission electron microscopy (TEM), atomic force microscopy (AFM), specific surface area, X-ray diffraction (XRD), thermogravimetric analysis (TGA), Raman and Fourier transform infrared (FTIR) spectroscopy. The electrochemical properties were studied by cyclic voltammetry (CV) and chronoamperometry (CA). Zirconia nanocrystallites (6.6 ± 1.8 nm) with cubic crystal structure were directly synthesized on the fCNTs walls, obtaining a well dispersed distribution with a high surface area. The experimental results indicate that the ZrO2-fCNTs nanostructured system exhibits good electrochemical properties and could be tunable by enhancing the modification conditions and method of synthesis. The fabricated sensor could be used to efficiently detect H2O2, presenting a good linear relationship between the H2O2 concentration and the peak current, with quantification limit (LQ) of the 10.91 μmol·L−1 and detection limit (LD) of 3.5913 μmol·L−1.