In this paper, a piezoelectric quartz crystal (PQC) sensor has been developed with a coating material of N, N, N’, N’-tetrakis (2-hydroxyethyl) ethylenediamine (THEED). The active compound was selected from fifty-one adsorptive coating materials and was the most efficient one for sensing of carbon dioxide gas. The coated PQC sensor possessed an excellent linear response range of 0.3738 ~ 31.85% with a sensitivity of 53.81 Hz/% to CO2 gas after coating with 91.62 μg of THEED. The detection limit for CO2 gas could reach 100.0 ppm. The sensor also possessed good reproducibility and stability. There were no significant interferences from other gases dissolved in transformer oil such as carbon monoxide, hydrogen, methane, ethane, ethylene, and ethyne. The THEED coated PQC sensor has been successfully applied to the determination of CO2 samples dissolved in transformer oil, showing its promising application for generation set’s safety evaluation in power industry.