A novel electrochemical non-enzymatic hydrogen peroxide (H2O2) sensor has been developed based on Prussian blue (PB) and electrochemically reduced graphene oxide (ERGO). The GO was covalently modified on glassy carbon electrode (GCE), and utilized as a directing platform for in-situ synthesis of electroactive PB. Then the GO was electrochemically treated to reduction form to improve the effective surface area and electroactivity of the sensing interface. The fabrication process was characterized by scanning electron microscopy (SEM), energy-dispersive X-ray spectroscopy (EDX) and atomic force microscopy (AFM). The results showed that the rich oxygen containing groups play a crucial role for the successful synthesis of PB, and the obtained PB layer on the covalently immobilized GO has good stability. Electrochemical sensing assay showed that the modified electrode had tremendous electrocatalytic property for the reduction of H2O2. The steady-state current response increased linearly with H2O2 concentrations from 5 μM to 1 mM with a fast response time (less than 3 s). The detection limit was estimated to be 0.8 μM. When the sensor was applied for determination of H2O2 released from living cells of macrophages, satisfactory results were achieved.