A novel and efficient photochemical method has been proposed for the encapsulation of Prussian blue nanoparticles (PBNPs) inside the channels of carbon nanotubes (PB-in-CNTs) in an acidic ferrocyanide solution under UV/vis illumination, and the confinement effect of CNTs on the electrochemical properties of PBNPs is systematically explored. PB-in-CNTs show a faster electron-transfer process, an enhanced electrocatalytic activity toward the reduction of H2O2, and an increased anti-base ability compared to PBNPs loaded outside of CNTs (PB-out-CNTs). In addition, PB-in-CNTs show an increased electrochemical reversibility and an unexpected diameter-independent catalytic activity with the decrease of CNT diameters. The improved electrochemical properties of PB-in-CNTs are attributed to the modified electronic properties and dimensions of PBNPs induced by the confinement effect of CNTs. This work provides further insights into the confinement effect on the properties of nanomaterials and will inspire extensive relevant investigations in the development of novel composites or excellent catalysts.