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Quantum tunneling electrical probes, consisting of a pair of nanoelectrodes with a gap width of less than 5 nm, can be used as a robust electrical sensing platform for the detection of various nanoscale objects. To achieve this, stable and gap-width-controllable electrodes are essential. Although various methods, including lithography and electrochemical strategies, have been proposed for the fabrication of tunneling electrodes, the ability to precisely control the gap width and ensure reproducibility is still lacking. Here, we report a feedback-controlled electrochemical etching approach to fabricate the tunneling electrodes with a controlled nanogap. The connected nanoelectrodes, derived from a dual-barrel nanopipette, were subjected to a controlled electrochemical etching process from a short-circuited state to a tunneling gap. The resulting tunneling electrodes exhibited solvent-response current–voltage electrical behavior, which was well fitted with the Simons model, indicating the formation of tunneling electrodes. Overall, a success rate of more than 60% could be achieved to obtain the tunneling gaps. Furthermore, to verify the function of tunneling electrodes, we used the etched-tunneling electrodes for free-diffusing protein detection, showing the potential of etched-tunneling electrodes as single-molecule sensors.