Hydrogen peroxide (H2O2) plays an important role in various signal transduction pathways and regulates important cellular processes. However, monitoring and quantitatively assessing the distribution of H2O2 molecules inside living cells requires a nanoscale sensor with molecular-level sensitivity. Herein, we show the first demonstration of sub-10 nm-sized fluorescent nanodiamonds (NDs) as catalysts for the decomposition of H2O2 and the production of radical intermediates at the nanoscale. Furthermore, the nitrogen-vacancy quantum sensors inside the NDs are employed to quantify the aforementioned radicals. We believe that our method of combining the peroxidase-mimicking activities of the NDs with their intrinsic quantum sensor showcases their application as self-reporting H2O2 sensors with molecular-level sensitivity and nanoscale spatial resolution. Given the robustness and the specificity of the sensor, our results promise a new platform for elucidating the role of H2O2 at the cellular level.