Carcinoembryonic antigen (CEA) has been an extensively used tumor marker responsible for clinical early diagnosis of cervical carcinomas, and pancreatic, colorectal, gastric and lung cancer. Combined with micro-electro mechanical system (MEMS) technology, it is important to develop a novel immune microelectrode array (MEA) not only for rapid analysis of serum samples, but also for cell detection in vitro and in vivo. In this work, we depict a simple approach to modify chitosan–multi-walled carbon nanotubes–thionine (CS–MWCNTs–THI) hybrid film through one-step electrochemical deposition and the CS-MWCNTs-THI hybrid films are successfully employed to immobilize anti-CEA for fabricating simple, label-free, and highly sensitive electro-chemical immune MEAs. The detection principle of immune MEA was based on the fact that the increasing formation of the antigen-antibody immunocomplex resulted in the decreased response currents and the relationship between the current reductions with the corresponding CEA concentrations was directly proportional. Experimental results indicated that the label-free MEA had good selectivity and the limit of detection for CEA is 0.5 pg/mL signal to noise ratio (SNR) = 3. A linear calibration plot for the detection of CEA was obtained in a wide concentration range from 1 pg/mL to 100 ng/mL (r = 0.996). This novel MEA has potential applications for detecting CEA for the research on cancer cells and cancer tissue slices as well as for effective early diagnosis.