Liposomes are potential candidates as nanovesicles for the development of detection systems with improved sensitivity and detection limits, due to their capacity to encapsulate diverse types of signal enhancing molecules. An amperometric immunosensor exploiting enzyme encapsulating thermosensitive liposomes for the ultrasensitive detection of carcinoembryonic antigen (CEA) is reported. Five different bioconjugation methods to link an anti-CEA antibody to horseradish peroxidase (HRP) encapsulating liposomes were studied and compared to HRP-Ab conjugate. ζ-Potential measurements of liposomes before and after each modification method as well as following incubation with CEA were used as a tool to monitor the success of modification and probe the affinity of the liposome linked antibodies. The use of different lysing conditions (temperature vs detergent) was evaluated, with the application of temperature providing an extremely effective means of liposome lysis. Finally, thermosensitive liposomes modified using biotin-streptavidin and N-succinimidyl-S-acetylthioacetate (SATA)/sulfosuccinimidyl 4-(N-maleimidomethyl) cyclohexane-1-1-carboxylate (Sulfo-SMCC) chemistries were used to detect CEA and compared in terms of their stability, background signal, and limit of detection. Detection limits of 2 orders of magnitude lower than that obtained with the HRP-antibody reporter conjugate were obtained (0.080 ng CEA/mL and 0.0113 ng CEA/mL), with 11-fold and 9-fold amplification of signal, for the biotin-streptavidin and SATA/Sulfo-SMCC modified liposomes respectively, clearly demonstrating the powerful potential of enzyme encapsulating liposomes as signal enhancement tools.