Thin films of copper hexacyanoferrate (CuHCF) have been reproducibly electrodeposited on conductive substrates according to two different potentiostatic methods, here denoted as A and B. For both methods two consecutive steps are involved, the first being the electrodeposition of a thin Cu layer, the second its partial dissolution and formation of CuHCF in presence of hexacyanoferrate anion, giving as result a two layers film (CuHCF on Cu metal). The main difference, instead, consists in the applied potential values and their application times, featuring Method A lower potentials but longer processing times. Structural insights have been achieved by means of X-ray Diffraction (XRD) and X-ray Absorption Fine Structure (XAFS) measurements, from which we can deduce the presence of Prussian blue (PB) impurities in Method A, while Method B leads to a pure CuHCF phase. Two analytical applications have been considered, ion exchange and H2O2 sensing. Ion exchange has been first assayed and, although CuHCF-A shows a higher stability towards multivalent cations, CuHCF-B is suitable for small hydrated ions. PB impurities in CuHCF-A boost its sensing towards H2O2, making it more adapted to this employment.