Ethylene glycol (EG) is a colorless and odorless organic compound, which is an important industrial raw material but harmful to the environment and human health. Thus, it is necessary to develop high-performance sensing materials to monitor EG gas. Herein, sea urchin-shaped ZnO was successfully synthesized by a hydrothermal method. Subsequently, a series of carbon dot (CD)-modified ZnO nanocomposites were successfully prepared using a simple mechanical grinding method. The prepared CDs@ZnO-1 sensor exhibits an excellent response to EG gas, with a response value of 1356.89 to 100 ppm EG at the optimal operating temperature (220 °C). After five cycles of detection, the sensor can still maintain a stable response. The enhanced sensing performance of EG can be attributed to rich oxygen vacancies that are generated on the surface of CDs@ZnO, and the heterojunction formed between p-type CDs and n-type ZnO. This study provides inspiration for the development of high-response semiconductor metal oxide sensors.