Au nanoparticles modified with electroactive Prussian blue (PB) were for the first time synthesized by a simple chemical method. Transmission electronic microscopy showed that the average size of the Prussian blue shell/Au core hybrid composite (PB@Au) was about 50 nm, and Fourier transform IR, UV-vis spectra, and cyclic voltammetry confirmed the existence of PB on the surface of Au nanoparticles. Using the LbL technique, multilayer thin films of PB@Au nanoparticles were prepared by the alternate adsorption of oppositely charged linear polyelectrolyte poly(allylamine hydrochloride) (PAH) onto ITO glass for the construction of a hydrogen peroxide sensor. The novel multilayer films were characterized by SEM, cyclic voltammetry, and UV-visible absorption spectroscopy. The {PAH/PB@Au}n multilayer-modified electrode showed a well-defined pair of redox peaks and dramatic catalytic activity toward the reduction of hydrogen peroxide.