Graphene-Fe3O4 (G-Fe3O4) composites were prepared with a solvothermal method for the immobilization of horseradish peroxidase (HRP) to construct a mediator-free H2O2 biosensor. The morphology and structure of the G-Fe3O4 composites were analyzed by TEM, SEM, and XRD. Chitosan (CH) was utilized to disperse the composites, and the mixture of CH, G-Fe3O4 and HRP was spin-coated on an indium tin oxide (ITO) electrode to form a biocomposites film. Electrochemical impedance spectroscopy (EIS) and cyclic voltammograms (CV) demonstrated the fast electron transfer process between HRP and the electrode. The resulted H2O2 biosensor exhibited a rapid response upon the addition of H2O2, a high sensitivity of 132 µA mM−1 cm−2 and a low detection limit of 6×10−7 M. The linear range of the biosensor is from 5×10−6 to 3.81×10−3 M (r=0.997). Such interesting G-Fe3O4 composites with easy preparation and low cost can provide a novel matrix for enzyme immobilization to construct biosensors with higher performance.