Catalytically active nanomaterials, in particular, nanozymes, are promising candidates for applications in biosensors due to their excellent catalytic activity, stability and cost-effective preparation. Nanozymes with peroxidase-like activities are prospective candidates for applications in biosensors. The purpose of the current work is to develop cholesterol oxidase-based amperometric bionanosensors using novel nanocomposites as peroxidase (HRP) mimetics. To select the most electroactive chemosensor on hydrogen peroxide, a wide range of nanomaterials were synthesized and characterized using cyclic voltammetry (CV) and chronoamperometry. Pt NPs were deposited on the surface of a glassy carbon electrode (GCE) in order to improve the conductivity and sensitivity of the nanocomposites. The most HRP-like active bi-metallic CuFe nanoparticles (nCuFe) were placed on a previously nano-platinized electrode, followed by conjugation of cholesterol oxidase (ChOx) in a cross-linking film formed by cysteamine and glutaraldehyde. The constructed nanostructured bioelectrode ChOx/nCuFe/nPt/GCE was characterized by CV and chronoamperometry in the presence of cholesterol. The bionanosensor (ChOx/nCuFe/nPt/GCE) shows a high sensitivity (3960 A·M−1·m−2) for cholesterol, a wide linear range (2–50 µM) and good storage stability at a low working potential (−0.25 V vs. Ag/AgCl/3 M KCl). The constructed bionanosensor was tested on a real serum sample. A detailed comparative analysis of the bioanalytical characteristics of the developed cholesterol bionanosensor and the known analogs is presented.