A serious impetus always exists to exploit new methods to enrich the prospect of nanomaterials. Here, we report electrochemical conversion (ECC) of magnetic nanoparticles (MNPs) to electroactive Prussian blue (PB) analogues accompanied by three interfacial effects and its exploitation for novel label self-sacrificial biosensing of avian influenza virus H5N1. The ECC method involves a high-potential step to create strong acidic condition by splitting H2O to release Fe3+ from the MNPs, and then a low-potential step leading to the reduction of coexisting K3Fe(CN)6 and Fe3+ to K4Fe(CN)6 and Fe2+, respectively, which react to form PB analogues. Unlike conventional solid/liquid electrochemical interfaces that need a supply of reactants by transportation from bulk solution and require additional template to generate porosity, the proposed method introduces MNPs on the electrode surface and makes them natural nanotemplates and nanoconfined sources of reactants. Therefore, the method presents interesting surface templating, generation-confinement, and refreshing effects/modes, which benefit the produced PB with higher porosity and electrochemical activity, and 3 orders of magnitude lower requirement for reactant concentration compared with conventional methods. Based on the ECC methods, a sandwich immunosensor is designed for rapid detection of avian influenza virus H5N1 using MNPs as self-sacrificial labels to produce PB for signal amplification. Taking full advantages of the high abundance of Fe in MNPs and three surface effects, the ECC method endows the biosensing technology with high sensitivity and a limit of detection down to 0.0022 hemagglutination units, which is better than those of most reported analogues. The ECC method may lead to a new direction for application of nanomaterials and new electrochemistry modes.