Horseradish peroxidase (HRP)–TiO2 film electrodes were fabricated by casting the mixture of HRP solution and aqueous titania nanoparticle dispersion onto pyrolytic graphite (PG) electrodes and letting the solvent evaporate. The HRP incorporated in TiO2 films exhibited a pair of well-defined and quasi-reversible cyclic voltammetric peaks at about −0.35V versus saturated calomel electrode (SCE) in pH 7.0 buffers, characteristic of HRP–Fe(III)/Fe(II) redox couple. The electron exchange between the enzyme and PG electrodes was greatly enhanced in the TiO2 nanoparticle film microenvironment. The electrochemical parameters such as apparent heterogeneous electron transfer rate constant (k s) and formal potential (E°′) were estimated by fitting the data of square wave voltammetry with nonlinear regression analysis. The HRP–TiO2 film electrodes were quite stable and amenable to long-time voltammetric experiments. The UV-Vis spectroscopy showed that the position and shape of Soret absorption band of HRP in TiO2 films kept nearly unchanged and were different from those of hemin or hemin–TiO2 films, suggesting that HRP retains its native-like tertiary structure in TiO2 films. The electrocatalytic activity of HRP embedded in TiO2 films toward O2 and H2O2 was studied. Possible mechanism of catalytic reduction of H2O2 with HRP–TiO2 films was discussed. The HRP–TiO2 films may have a potential perspective in fabricating the third-generation biosensors based on direct electrochemistry of enzymes.