The Co₃(PO₄)₂·8H₂O nanozyme was in situ synthesized through direct reaction between cobalt (Ⅱ) and phosphate, and its peroxidase-like activity was studied in the presence of hydrogen peroxide (H₂O₂) using a chromogenic substrate 3, 3', 5, 5' - tetramethylbenzidine (TMB). The effects of pH value, temperature, and incubation time on the conversion of TMB to oxidized TMB (oxTMB) catalyzed by Co₃(PO₄)₂·8H₂O in the presence of H₂O₂ were optimized. The peroxidase-like activity of Co₃(PO₄)₂·8H₂O conforms to the Michaelis-Menten kinetics, and its Michaelis constant (K_m) is 0.073 mM, showing a higher H₂O₂ affinity than natural horseradish peroxidase (HRP) and some other peroxidase nanozymes. The mechanism exploration experiment confirmed that the hydroxyl radical (•OH) is the main active species in the catalytic reaction of Co₃(PO₄)₂·8H₂O. Finally, based on the inherent peroxidase-like activity of Co₃(PO₄)₂·8H₂O, a simple colorimetric detection method for H₂O₂ was established, with a linear range of 15.0−100.0 μM and a detection limit of 4.385 μM. The method was applied to the determination of H₂O₂ in milk samples with the spiked recovery of 90.2%−106.2%. This study reports a novel nanozyme that can be easily produced in situ, which is exempt from the harsh, cumbersome, and time-consuming synthesis and purification procedures. In addition, the H₂O₂ colorimetric detection method based on the nanozyme has the advantages of low cost, convenient, high sensitivity, and good selectivity.