In this word as the first step to develop optical biosensors for a single cell level analysis, the preparation method of nano-scale polymer hydrogel spheres containing an enzyme was set up and the feasibility of the spheres as optical biosensors was investigated. The horseradish peroxidase (HRP) was encapsulated in the PEG hydrogel spheres by suspension photopolymerization, yielding spheres of the average size of 305 nm. After the polymerization, the incorporation and activity of HRP within the spheres were determined by the production of fluorescence resulted from the enzymatic reaction between HRP and $H_{2}O_{2}$. The fluorescence emission response of the HRP-loaded PEG hydrogel spheres increased by nearly 300$\%$ as hydrogen peroxide concentration was changed from 0 to 11 nM in the presence of Amplex Red. The results suggest that the method to prepare the PEG hydrogel nanospheres containing an enzyme could be used for developing optical biosensors to measure various analytes in the very small samples like a single cell.