Composite films of titanium phosphate (TiPS)/Prussian blue (PB) were fabricated by the alternative deposition of TiPS layer and PB nanocrystals. The layer of TiPS was fabricated by adsorption of hydrated titanium from aqueous Ti(SO4)2 solution and subsequent reaction with phosphate groups. The layer of PB nanocrystals was fabricated by sequential adsorption of FeCl3 solution and K4[Fe(CN)6] solution. Regular deposition of TiPS/PB composite films were verified by UV-vis absorption spectroscopy and quartz crystal microbalance measurements. The successful fabrication of the TiPS/PB composite films was further confirmed by X-ray photoelectron spectroscopy and Fourier transform infrared (FT-IR) spectroscopy. Instead of producing films of TiPS layers alternating with PB nanocrystal layers, the TiPS/PB composite films have a structure in which the interstices of the PB nanocrystal films are filled with TiPS component. TiPS/PB composite films show enhanced electrochemical properties and improved stability in comparison with pure PB films prepared by the multiple sequential adsorption process. TiPS/PB composite films have the capability to catalyze the electrochemical reduction of H2O2 and can be used as a biosensor for detecting H2O2.