A kind of solid substrate, glassy carbon (GC) electrode, was selected to support self-assembled lipid layer membranes. On the surface of GC electrode, we made layers of dimyristoylphosphatidylcholine (DMPG, a kind of lipid). From electrochemical impedance experiments, we demonstrated that the lipid layers on the GC electrode were bilayer lipid membranes. We immobilized horseradish peroxidase (HRP) into the supported bilayer lipid membranes (s-BLM) to develop a kind of mediator-free biosensor for H2O2. The biosensor exhibited fine electrochemical response, stability and reproducibility due to the presence of the s-BLM. As a model of biological membrane, s-BLM could supply a biological environment for enzyme and maintain its activity. So s-BLM is an ideal choice to immobilize enzyme for constructing the mediator-free biosensor based on GC electrode.