A novel electrochemical membrane reactor integrated with a gas diffusion cathode (GDE) is proposed to improve oxygen utilization and energy efficiency for hydrogen peroxide (H2O2) electrogeneration. The limit of the oxygen reduction reaction was broken in the presence of the gas diffusion layer via the beneficial use of the GDE. The pore structure and surface property of the GDE were carefully adjusted to obtain low-resistance gas transport channels. The effects of oxygen flow rate on electrogeneration of H2O2 were assessed, and the role of GDE in the improved system was elucidated in comparison to the traditional system. At a polytetrafluoroethylene content of 25% for the catalytic layer of the GDE, the maximum oxygen utilization efficiency was enhanced to 7.4% and the accumulated concentration of H2O2 reached 1230.0 mg/L, with a current efficiency up to 88.1%; energy consumption was reduced to 11.6 kWh/kg.