With the aim to remove NOx from the lean-burn engine exhaust, a novel in-situ electrochemical device was designed using carbon black-based gas diffusion electrode (GDE) as cathode. Taking advantage of the excessive O2 from the exhaust, in-situ electro-generation of H2O2 from oxygen reduction reaction (ORR) under catalysis of the GDE could oxidize NOx to NO3−. The highest NOx removal efficiency was 77.7% for 1000 ppm NOx with energy consumption of 1.327 W cm−2 cm−3. The electrochemical NOx removal pathway was proposed that, as NO and O2 were adsorbed on different sites in the catalyst layer (CL), electro-generated H2O2 attacked the C―N adsorption bonds mostly in the nitro compounds to oxidize adsorbed NO to NO3−, while NO2 was directly oxidized by the produced H2O2 in the electrolyte. The NOx removal efficiency is mainly controlled by the NO adsorption rate as well as the H2O2 oxidation rate, and the former is the dominant factor. This in-situ electrochemical NOx removal system exhibited properties of energy-saving, low–cost and environmental compatibility, indicating great potential for industrial application.