In this work, a novel redox hydrogel was proposed for ultrasensitive label-free electrochemical detection of a carcinoembryonic antigen (CEA). The redox hydrogel composed of cellulose nanocrystals (CNCs), methylene blue (MB), multi-walled carbon nanotubes (MWCNTs), and polydopamine-reduced graphene oxide-gold nanoparticles (PDA–rGO–AuNPs) was formed by electrostatic and hydrophobic interactions among these components. The larger surface to volume ratio, outstanding hydrophilicity, excellent film-forming ability and the gelatinization of CNCs provided the premise for the formation of a gel with excellent properties including larger specific surface area (101.05 m² g⁻¹), better adhesive ability to glassy carbon electrodes (GCEs), etc. The addition of MWCNTs to hydrogel could improve the adsorption of redox MB. The synthesized PDA–rGO–AuNPs gel was integrated into a hydrogel not only for improving the conductivity but also for providing more sites for immobilization of antibodies. The obtained CNC–MB–MWCNT–PDA–rGO–AuNPs gel was then applied to modify GCE and the gel/GCE demonstrated higher stability and exhibited a strong redox performance (current signal appeared at −0.156 V (vs. Ag/AgCl)). The immunoassay platform was constructed after the gel/GCE was incubated with anti-CEA and blocked by bovine serum albumin (BSA) in succession. The proposed immunosensor exhibited a wider linear range from 1 fg mL⁻¹ to 200 ng mL⁻¹ with an ultralow detection limit of 0.011 fg mL⁻¹ (at a signal to noise ratio of 3). Furthermore, the immunosensor demonstrated higher selectivity, excellent reproducibility, remarkable stability, and better reliability for real sample analysis, which implied a promising potential for the determination of CEA in clinical application.