The excellent catalytic activity of a novel nanomaterial was introduced to ultrasensitive sandwich-type electrochemical immunosensor applications for detection of carcinoembryonic antigen (CEA). Amino-functionalized multi-walled carbon nanotube (MWCNT-NH₂) supported PdPt nanocages were used as catalytic labels of secondary anti-CEA. PdPt nanocages with hollow interiors and porous walls could efficiently enhance electrocatalysis for reduction of H₂O₂. Meanwhile, with good dispersion, large specific surface area and amino groups, MWCNT-NH₂ can immobilize a large amount of PdPt nanocages to improve the sensitivity and amplify the signal of the immunosensor. For the immobilization of primary antibodies, 3-aminopropyltriethoxysilane functionalized graphene sheets were used as transducing materials to modify glassy carbon electrodes and to enhance the electron transfer efficiently. Under the optimal conditions, the electrochemical immunosensor exhibited a wide linear range of 0.001–20 ng mL⁻¹ with a low detection limit of 0.2 pg mL⁻¹ for CEA. The proposed sensing strategy enriches electrochemical immunoassays and may have a promising application in bioassay analysis.