A novel microsensor, consisting of crossed Cu micropillars coated with ZnO nanorods, was fabricated by electrochemical methods for detecting gas in a small space. The Cu micropillars (80 μm diameter, 10 mm long) were prepared by microanode-guided electroplating (MAGE) on the periphery of a square copper pad (dimensions 5.0 mm × 5.0 mm × 1.0 mm). The micropillars were electrochemically coated with a 500 nm thick layer of ZnO nanorods deposited from a bath containing 2.0 mM zinc chloride and H2O2 varying in 5, 10, 15, and 20 mM. Two ZnO-coated pillars were crossed to form a microsensor by approaching the Cu pads below, which was adhered to an alumina substrate with silver paste and connected to conducting wires for measurement. The morphology of the coating of ZnO nanorods, which was found to be determined by the concentration of H2O2 in the bath, influenced the gas sensing. The morphology of the coating was characterized by scanning electron microscopy; the structural analysis was carried out by X-ray diffraction and high-resolution transmission electron microscopy (HRTEM); the surface analysis was carried out by X-ray photoelectron spectroscopy; and the defects were determined with photoluminescence (PL) spectra. We thus investigated the effect of the morphology of the coating on the sensing properties by introducing a stream of gases varying in CO/air ratios to understand the sensing mechanism of the microsensor.