In this study, a novel composite of cobalt hexacyanoferrate nanoparticles (CoNP) and platinum nanoparticles (Pt) on carbon nanotubes (CNTs) is obtained by ultrasonically mixing CoNP synthesized in a microemulsion with CNTs chemically modified with platinum nanoparticles (Pt/CNTs). Cyclic voltammetric and amperometric measurements on a glass carbon electrode showed that the composite (called CoNP–Pt/CNTs) exhibits a well-defined pair of redox peaks and a prominent electrocatalytic activity toward hydrogen peroxide (H2O2) reduction. Besides, the current response of CoNP–Pt/CNTs is 2 orders of magnitude higher than the response of CoNP alone and 1 order of magnitude higher than the response of Pt/CNTs or CoNP/CNTs alone. This higher efficiency can be attributed to a remarkable synergistic effect between CoNP, Pt and CNTs. This sensor shows a linear response to H2O2 concentrations ranging from 0.2 μM to 1.25 mM with a detection limit of 0.1 μM, a maximum sensitivity of 0.744 A·M−1 and a fast response time below 2 s.