In this work, bimetallic core-shell rhodium@palladium nanodendrites (Rh@Pd NDs) loaded on sulfo group functionalized multi-walled carbon nanotubes (MWCNTs-SO3H) were combined to form Rh@Pd NDs/MWCNTs-SO3H nanocomposites. And the composites were used to construct a simple and label-free electrochemical immunosensor for carcino embryonic antigen (CEA) detection using differential pulse voltammetry (DPV). Rh@Pd NDs with dendritic nanostructure not only provide abundant catalytically active sites, but also increase the loading of antibody, which could improve the analytical performance and result in high sensitivity. In addition, the MWCNTs-SO3H could further enhance electrochemical properties due to the excellent conductivity, good solubility and high surface area. Taking advantages of both Rh@Pd NDs and MWCNTs-SO3H, the proposed immunosensor showed a broad linear range from 25 fg mL−1 to 100 ng mL−1 for CEA detection and a low detection limit of 8.3 fg mL−1 (signal-to-noise ratio of 3) under optimal experimental conditions. Moreover, the expected immunosensor exhibited good reproducibility and high sensitivity, which could achieve excellent analysis of CEA in human serum with satisfactory results. Therefore, the Rh@Pd NDs/MWCNTs-SO3H nanocomposites may be considered as a sensing platform for fabrication of simple, ultrasensitive and label-free electrochemical immunosensor.