We developed self-linkable Prussian blue (PB)-incorporated magnetic graphene oxide (PMGO) as a peroxidase-mimicking nanozyme with high oxidizability to 3,3',5,5'-tetramethylbenzidine (TMB), which generates significant absorption intensity for the colorimetric immunosensing of apolipoprotein A1 (ApoA1) in early bladder cancer (BC) diagnosis and prognosis monitoring. The ultrasensitive immunosensor was constructed using an ApoA1 antibody (Ab)-functionalized chip (biochip) and self-linkable peroxidase-mimicking, PB-incorporated magnetic graphene oxide (PMGO). After incubating the sample and capturing ApoA1 proteins captured on the biochip, the PMGO was functionalized with Ab, and then mouse IgG (PMGO-1), rabbit anti-mouse IgG antibody (PMGO-2), and goat anti-rabbit IgG antibody (PMGO-3) were added together. We envisioned that each captured ApoA1 protein would allow the retention of a large amount of PMGO through a self-linking process to amplify the colorimetric signal of TMB in the presence of HO. The linear detection range could be obviously widened in the presence of self-linkable PMGO-from 0.05 ng/mL to 100 ng/mL-compared with the group without signal amplification (from 1 ng/mL to 100 ng/mL). Our immunosensor analysis of ApoA1 in the urine of BC patients and healthy individuals was highly correlated with enzyme-linked immunosorbent assay measurements; moreover, the ApoA1 concentrations of patients with high-grade BC were significantly higher than those of patients with low-grade BC. After standard clinical treatment, a significant drop of ApoA1 concentration occurred in urine that was lower than the cut-off concentration, suggesting potential clinical applications of the new self-linkable PMGO-generating colorimetric immunosensor in early BC diagnosis and prognosis monitoring.