An ultrasensitive electrochemical microelectrode set (μ-ES), where all three electrodes are made of highly densified carbon nanotube fiber (HD-CNTf) cross sections (length ∼40 μm), embedded in an inert polymer matrix, and exposed open-ended CNTs at the interface, is presented here. Bare open ends of HD-CNTf rods were used as the working (∼40 μm diameter) and counter (∼94 μm diameter) electrodes, while the cross section of a ∼94 μm diameter was electroplated with Ag/AgCl and coated with Nafion to employ as a quasi-reference electrode. The Ag/AgCl/Nafion-coated HD-CNTf rod quasi-reference electrode provided a very stable potential comparable to the commercial porous-junction Ag/AgCl reference electrode. The HD-CNTf rod μ-ES has been evaluated by electrochemical determination of biologically important analytes, i.e., dopamine (DA), β-nicotinamide adenine dinucleotide (NADH), a diuretic drug, i.e., furosemide, and a heavy metal, i.e., lead ions (Pb2+). Different voltammetric techniques were employed during the study, i.e., cyclic voltammetry (CV), square wave voltammetry (SWV), amperometry, and square wave anodic stripping voltammetry (SWASV). The direct metallic connection to CNTs gives access to the exceptional properties of highly ordered open-ended CNTs as electrochemical sensors. The distinct structural and electronic properties of aligned HD-CNTf rods in the μ-ES demonstrate fast electron transfer kinetics and offer excellent detection performance during testing for different analytes with wide linear ranges, excellent sensitivity, and very low limits of detection.