The demand for the ubiquitous detection of gases in complex environments is driving the design of highly specific gas sensors for the development of the Internet of Things, such as indoor air quality testing, human exhaled disease detection, monitoring gas emissions, etc. The interaction between analytes and bioreceptors can described as a “lock-and-key”, in which the specific catalysis between enzymes and gas molecules provides a new paradigm for the construction of high-sensitivity and -specificity gas sensors. The electrochemical method has been widely used in gas detection and in the design and construction of enzyme-based electrochemical gas sensors, in which the specificity of an enzyme to a substrate is determined by a specific functional domain or recognition interface, which is the active site of the enzyme that can specifically catalyze the gas reaction, and the electrode–solution interface, where the chemical reaction occurs, respectively. As a result, the engineering design of the enzyme electrode interface is crucial in the process of designing and constructing enzyme-based electrochemical gas sensors. In this review, we summarize the design of enzyme-based electrochemical gas sensors. We particularly focus on the main concepts of enzyme electrodes and the selection and design of materials, as well as the immobilization of enzymes and construction methods. Furthermore, we discuss the fundamental factors that affect electron transfer at the enzyme electrode interface for electrochemical gas sensors and the challenges and opportunities related to the design and construction of these sensors.