Catalytic cascades obtained from the combination of nanozymes, which are nanomaterials with enzyme-like activity, and natural enzymes have drawn much attention for biosensing and biomedical applications. A key consideration in the development of cascade reaction systems is the integration of nanozymes with enzymes to boost the overall catalytic performance. Here, we report an efficient one-pot approach for the preparation of an enzyme–nanozyme hydrogel composite for cascade catalysis. Prussian blue (PB) nanoparticles (NPs) were prepared by using mild synthetic conditions in a cellulose-based hydrogel network in the presence of glucose oxidase (GOx), resulting in the simultaneous immobilization of PB NPs and active GOx in the hydrogel. This integrated system not only displays peroxidase-like activity relative to the PB NPs but also reveals an enhanced cascade catalytic performance for the colorimetric detection of glucose due to the proximity effect of the enzyme–nanozyme system within the hydrogel matrix. Compared to the analogue mixture with GOx in solution, the composite hydrogel shows enhanced glucose detection and improved stability. The developed colorimetric assay was successfully applied for the analysis of glucose in human serum samples, demonstrating its potential in clinical diagnosis. The versatility of this one-pot protocol holds promise for the development of different multienzyme systems, leading to efficient cascade catalysis for sensing applications.