Graphene, whose structure consists of a single layer of sp2-hybridized carbon atoms, provides an excellent platform for designing composite nanomaterials. In this study, we have demonstrated a facile process to synthesize graphene–multiwalled carbon nanotube (MWCNT) composite. The graphene–MWCNT composite material is endowed with a large electrochemical surface area and fast electron transfer properties in Fe(CN)6 3−/4− redox species. A graphene–MWCNT composite modified electrode exhibits good performance in terms of the electrocatalytic reduction of H2O2; a sensor constructed from such an electrode shows a good linear dependence on H2O2 concentration in the range of 2×10−5 to 2.1×10−3 molL−1. The detection limit is estimated to be 9.4×10−6 molL−1. This study provides a new kind of composite modified electrode for electrochemical sensors.