There has been increasing interest recently in mixed-valence inorganic nanostructure functionalized graphene composites, represented by Prussian blue, because they can cost-effectively apply to biosensors and energy devices. In this work, we present a one-pot green method to synthesize interlocked graphene–Prussian Blue hybrid composites as high-performance materials for biosensors and supercapacitor electrodes. Given the fact that graphene oxide (GO) can act as an electron acceptor, we used iron(II) and glucose as co-reducing agents to reduce GO under mild reaction conditions without introducing toxic agents. High quality Prussian blue nanocubes with no or little coordinated water were generated simultaneously. Reduced graphene oxide (rGO) was thus functionalized by Prussian blue nanocubes via chemical bonding to form a kind of interlocked microstructure with high stability and good conductivity. The as-synthesized composites were tested for biosensing of hydrogen peroxide (H2O2) and as supercapacitor electrode materials. The specific capacitance of the microcomposite based electrodes can reach 428Fg−1, with good cycling stability. The microcomposite also displays high performance catalysis towards electroreduction of H2O2 with a high sensitivity of 1.5Acm−2M−1.