A novel immobilization approach based on the supramolecular function between β-cyclodextrin polymer (β-CDP) and cationic dyes, and the condensation polymerization among β-CDP, glutaric dialdehyde and horseradish peroxidase (HRP) in the fabrication of a hydrogen peroxide sensor is described. IR and UV–vis spectroscopy were employed to characterize the structure of the composite membrane modified on the surface of the electrode. AFM was used to visualize the morphology of the composite membrane. The characteristics of supramolecular inclusion compounds between β-CDP and cationic dyes were studied. The fabricated H₂O₂ sensor responded rapidly to H₂O₂ in the linear range from 1.0 to 1.1 mmol l⁻¹ with a detection limit of 0.5 mol l⁻¹.