We are presenting a sensor for hydrogen peroxide (H2O2) that is based on the use of a heterostructure composed of Pt nanoparticles (NPs) and carbon nanofibers (CNFs). High-density Pt NPs were homogeneously loaded onto a three-dimensional nanostructured CNF matrix and then deposited in a glassy carbon electrode (GCE). The resulting sensor synergizes the advantages of the conducting CNFs and the nanoparticle catalyst. The porous structure of the CNFs also favor the high-density immobilization of the NPs and the diffusion of water-soluble molecules, and thus assists the rapid catalytic oxidation of H2O2. If operated at a working voltage of −0.2 V (vs. Ag/AgCl), the modified GCE exhibits a linear response to H2O2 in the 5 μM to 15 mM concentration range (total analytical range: 5 μM to 100 mM), with a detection limit of 1.7 μM (at a signal-to-noise ratio of 3). The modified GCE is not interfered by species such as uric acid and glucose. Its good stability, high selectivity and good reproducibility make this electrode a valuable tool for inexpensive amperometric sensing of H2O2.