Prussian blue (PB) nanoparticle (NP)‐based nanomaterials have become a subject of intense interest, because of their intriguing physical and chemical properties that differ from their bulk counterparts, leading to novel applications in electrocatalysis. However, the size effect of PB NPs on the electrocatalytic performance is still ambiguous and hinders further applications for the study of biomimetic sensors. In this work, a new approach to synthesize core‐shell Au@PB NPs is presented, using gold nanoparticles as catalysts for the fabrication of size‐controllable, highly stable, water‐soluble, biologically compatible and highly electrochemically active PB NPs. As a result, all sizes of Au@PB NPs display high electrochemical activity towards peroxidase biomimicry. Furthermore, the size effect of PB‐based electrocatalysis has been investigated, showing the best performance for 18 nm Au@PB NPs. This insight could be used for the design and application of PB‐based nanomaterials in biosensors.