The utilization of iron-based species (mainly metallic iron, hematite and magnetite) encapsulated into multi-walled carbon nanotube (CNTs) as reactants in an electrochemical synthesis is reported for the first time in this work. Prussian blue (PB) is electrosynthesized in a heterogeneous reaction between ferricyanide ions in aqueous solution and the iron-species encapsulated into CNTs, resulting in novel CNT/PB paste electrodes. This innovative preparation route produces an intimate contact between the PB and the CNTs, which improves the stability and redox properties of PB. The PB formation and the chemical interaction between the PB an the CNTs are confirmed by Raman spectroscopy. The electrode is employed as a hydrogen peroxide amperometric sensor, resulting in a very low limit of detection (1.94 x 10(-8) mol L-1) and very high sensitivity (15.3 cm(-2) M-1).