The design and construction of a photoelectrochemical (PEC) sensor with excellent photoelectric properties and good photoelectrocatalysis activity is significant for the effective detection of analytes. In this paper, based on a two-step anodic oxidation method and successive ionic layer adsorption (SILAR) method, a TiO2 nanotube array (TNT) photoelectrochemical sensor modified with BiOBr nanosheets was constructed and applied for the detection of H2O2 for the first time. The photocurrent of the photoelectrochemical sensor increases with the increase of the H2O2 concentration under the irradiation of an 8 W UV lamp. Excellent linearity was obtained in the concentration range from 10 nM to 100 μM with a low detection limit of 5 nM (S/N = 3). This excellent photoelectrochemical performance is due to the formation of a p-n heterojunction between BiOBr and TiO2 nanotube arrays, which provides efficient separation of charge carriers and accelerates electron transport. Moreover, it is applied to detect H2O2 in milk samples and it showed a good recovery result ranging from 95.73% to 105.65%, which provides a promising new strategy for the detection of H2O2.