Cu–Zn/ZnO nanocomposites with a novel core-shell structure have been prepared by a surface precipitation process in aqueous solution. X-ray powder diffraction, scanning electron microscopy and transmission electron microscopy are employed to analyze the structure and morphology of the present products. The influence of the annealing temperature on the core-shell structure of the nanocomposites is investigated, and a possible growth model is proposed. Furthermore, the gas sensors based on the Cu–Zn/ZnO nanocomposites are fabricated and tested, which exhibits high sensitivity and fast response to CO. The best results are obtained for the sensor based on the film annealed at 350 °C, which shows that the sensitivity is about 6.3 when the sensor is exposed to 100 ppm CO at the operating temperature of 240 °C. The possible sensing mechanism of the Cu–Zn/ZnO sensing film has also been discussed.