The self-assembly of sodium dodecyl benzene sulphonate (SDBS) functionalized graphene sheets (GSs) and horseradish peroxidase (HRP) by electrostatic attraction into novel hierarchical nanostructures in aqueous solution is reported. Data from scanning electron microscopy, high-resolution transmission electron microscopy, and X-ray diffraction demonstrate that the HRP–GSs bionanocomposites feature ordered hierarchical nanostructures with well-dispersed HRP intercalated between the GSs. UV-vis and infrared spectra indicate the native structure of HRP is maintained after the assembly, implying good biocompatibility of SDBS-functionalized GSs. Furthermore, the HRP–GSs composites are utilized for the fabrication of enzyme electrodes (HRP–GSs electrodes). Electrochemical measurements reveal that the resulting HRP–GSs electrodes display high electrocatalytic activity to H2O2 with high sensitivity, wide linear range, low detection limit, and fast amperometric response. These desirable electrochemical performances are attributed to excellent biocompatibility and superb electron transport efficiency of GSs as well as high HRP loading and synergistic catalytic effect of the HRP–GSs bionanocomposites toward H2O2. As graphene can be readily non-covalently functionalized by “designer” aromatic molecules with different electrostatic properties, the proposed self-assembly strategy affords a facile and effective platform for the assembly of various biomolecules into hierarchically ordered bionanocomposites in biosensing and biocatalytic applications.