Compared with conventional Fenton processes, the electro-Fenton process consumes fewer chemicals and produces less sludge, as it can generate the required Fenton’s reagents in situ. In this work, an electro-Fenton reactor was constructed to treat synthetic rhodamine B (Rh B) wastewater, in which a gas diffusion electrode (GDE) was used as a cathode to produce H2O2, and heterogeneous CuFeO@C particles were used to generate Fe2+ in situ. The results indicated that the gas diffusion electrode made of elements N-S-B and r-graphene oxide (NSB-r-GO) composites produced more H2O2 than the one made from r-graphene oxide (r-GO), under the conditions of 0.1 mol ·L−1 Na2SO4 electrolyte, 10 mA·cm−2 current density, and 1.0 L·min−1 O2 flow rate, with the accumulated H2O2 production reaching 105.43 mg·L−1. Additionally, different iron morphologies, including octahedral Fe (II), octahedral Fe (III), and tetrahedral Fe (III), were found in the calcined CuFeO@C particles, approximately 1.0 mg·L−1 of iron ions dissolved in the electrolyte was detected, which worked simultaneously as conductive electrodes in a conceptual three-dimensional electrochemical reactor consisting of a gas diffusion electrode cathode, Ti/RuSn anode, and CuFeO@C particle electrodes. No external Fenton reagents were necessary.