Electrochemical Raman spectroscopy is a powerful molecular level diagnostic technique for in situ investigation of adsorption and reactions on various material surfaces. However, there is still a big room to improve the optical path to meet the increasing request of higher detection sensitivity and spatial resolution. Herein, we proposed a novel electrochemical Raman setup based on a water immersion objective. It dramatically reduces mismatch of the refractive index in the light path. Consequently, significant improvement in detection sensitivity and spatial resolution has been achieved from both Zemax simulation and the experimental results. Furthermore, the thickness of electrolyte layer could be expanded to 2 mm without any influence on the signal collection. Such a thick electrolyte layer allows a much normal electrochemical response during the spectroelectrochemical investigations of the methanol oxidation.