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The galvanic dissolved oxygen sensor finds widespread applications in multiple critical fields due to its high precision and excellent stability. As its core sensing components, the oxygen-permeable membrane, electrode, and electrolyte significantly impact the sensor’s performance. To systematically investigate the comprehensive effects of these core sensing components on the performance of galvanic dissolved oxygen sensors, this study selected six types of oxygen-permeable membranes made from two materials (Perfluoroalkoxy Polymer (PFA) and Fluorinated Ethylene Propylene Copolymer (FEP)) with three thicknesses (0.015 mm, 0.03 mm, and 0.05 mm). Additionally, five concentrations of KCl electrolyte were configured, and four different proportions of lead–tin alloy electrodes were chosen. Single-factor and crossover experiments were conducted using the OxyGuard dissolved oxygen sensor as the experimental platform. The experimental results indicate that under the same membrane thickness conditions, PFA membranes provide a higher output voltage compared to FEP membranes. Moreover, the oxygen permeability of FEP membranes is more significantly affected by temperature. Furthermore, the oxygen permeability of the membrane is inversely proportional to its thickness; the thinner the membrane, the better the oxygen permeability, resulting in a corresponding increase in sensor output voltage. When the membrane thickness is reduced from 0.05 mm to 0.015 mm, the sensor output voltage for PFA and FEP membranes increases by 86% and 74.91%, respectively. However, this study also observed that excessively thin membranes might compromise measurement accuracy. In a saturated, dissolved oxygen environment, the sensor output voltage corresponding to the six oxygen-permeable membranes used in the experiment exhibits a highly linear inverse relationship with temperature (correlation coefficient ≥ 98%). Meanwhile, the lead–tin ratio of the electrode and electrolyte concentration have a relatively minor impact on the sensor output voltage, demonstrating good stability at different temperatures (coefficient of variation ≤ 0.78%). In terms of response time, it is directly proportional to the thickness of the oxygen-permeable membrane, especially for PFA membranes. When the thickness increases from 0.015 mm to 0.05 mm, the response time extends by up to 2033.33%. In contrast, the electrode material and electrolyte concentration have a less significant effect on response time. To further validate the practical value of the experimental results, the best-performing combination of core sensing components from the experiments was selected to construct a new dissolved oxygen sensor. A performance comparison test was conducted between this new sensor and the OxyGuard dissolved oxygen sensor. The results showed that both sensors had the same response time (49 s). However, in an anaerobic environment, the OxyGuard sensor demonstrated slightly higher accuracy by 2.44%. This study not only provides a deep analysis of the combined effects of oxygen-permeable membranes, electrodes, and electrolytes on the performance of galvanic dissolved oxygen sensors but also offers scientific evidence and practical guidance for optimizing sensor design.