The development in glucose and H2O2 electrochemical sensors has significantly progressed using some original nanomaterials, such as nanoparticles and nanowires in metal, metal oxide, or carbon nanomaterials. In this review, we discussed and analyzed the mechanism, performance, and characteristics of the enzyme/nonenzyme glucose and H2O2 electrochemical sensors based on some pure metal (Au, Pd, Ni, Pt, and Cu), metal oxide (ZnO, NiO, CuO (x) , TiO2, and Co3O4), and carbon (nanotubes and graphene) nanomaterials. Although the introduction of nanomaterials can effectively improve the sensitivity of enzyme glucose/H2O2 sensors by enhancing the activity of protein enzyme, the enzymes are sensitive to the biochemical environment. Meanwhile, the sensing performance of nonenzyme glucose/H2O2 sensors significantly depends on the morphology, uniformity, and distribution of nanomaterials.