Lung cancer is one of the malignant tumors with the highest mortality rate, and the detection of its tumor marker carcinoma antigen 125 (CA125) is significant. Here, an electrochemical immunoassay for CA125 was described. Nitrogen-doped reduced graphene oxide (N-rGO), carboxylated multi-walled carbon nanotubes (CMWCNTs) and gold nanoparticles (AuNPs) were applied to co-modify glassy carbon electrode (GCE), after incubation with Anti-CA125, the modified electrode was employed for the specific detection of CA125. The N-rGO@CMWCNTs (Nitrogen-doped reduced graphene oxide@carboxylated multi-walled carbon nanotubes) were used as a matrix, while CS@AuNPs (Chitosan@gold nanoparticles) with high conductivity and biocompatibility was immobilized on it through the reaction between carboxyl groups from CMWCNTs and amino groups, hydroxyl groups from chitosan (CS), resulting in the effect of double signal amplification. The immunosensor demonstrated excellent electrochemical performance with a linear detection range of 0.1 pg mL−1–100 ng mL−1, and the detection limit was as low as 0.04 pg mL−1 (S/N = 3). It had been verified that this method had good precision and high accuracy, and the immunosensor could remain stable for 10 days. This research provided a new method for the detection of CA125 in serum.