A DNA/chitosan-Fe3O4 magnetic nanoparticle bio-complex film was constructed for the immobilization of horseradish peroxidase (HRP) on a glassy carbon electrode. HRP was simply mixed with DNA, chitosan and Fe3O4 nanoparticles, and then applied to the electrode surface to form an enzyme-incorporated polyion complex film. Scanning electron microscopy (SEM) was used to study the surface features of DNA/chitosan/Fe3O4/HRP layer. The results of electrochemical impedance spectroscopy (EIS) show that Fe3O4 and enzyme were successfully immobilized on the electrode surface by the DNA/chitosan bio-polyion complex membrane. Direct electron transfer (DET) and bioelectrocatalysis of HRP in the DNA/chitosan/Fe3O4 film were investigated by cyclic voltammetry (CV) and constant potential amperometry. The HRP-immobilized electrode was found to undergo DET and exhibited a fast electron transfer rate constant of 3.7 s−1. The CV results showed that the modified electrode gave rise to well-defined peaks in phosphate buffer, corresponding to the electrochemical redox reaction between HRP(Fe(III)) and HRP(Fe(II)). The obtained electrode also displayed an electrocatalytic reduction behavior towards H2O2. The resulting DNA/chitosan/Fe3O4/HRP/glassy carbon electrode (GCE) shows a high sensitivity (20.8 A·cm−2·M−1) toward H2O2. A linear response to H2O2 measurement was obtained over the range from 2 μM to 100 μM (R2 = 0.99) and an amperometric detection limit of 1 μM (S/N = 3). The apparent Michaelis-Menten constant of HRP immobilized on the electrode was 0.28 mM. Furthermore, the electrode exhibits both good operational stability and storage stability.