Despite the significant potential of RNA‐cleaving DNAzymes for gene regulation, their application is limited by low therapeutic efficacy and lack of cell‐specific control. Here, a DNAzyme‐based nanohybrid designed for ultrasound (US)‐controlled, enzyme‐activatable mRNA regulation is presented, enabling tumor cell‐selective combination therapy. The nanohybrid is constructed by coordination‐directed self‐assembly of an enzymatically‐triggerable therapeutic DNAzyme (En‐Dz) and natural sonosensitizer hemoglobin (Hb). Controlled US exposure induces reactive oxygen species generation from Hb units, which not only facilitates efficient endosomal escape of En‐Dz, but also promotes the translocation of specific enzyme from the nucleus to the cytoplasm, thereby enhancing gene regulation efficacy. Notably, the enzyme‐triggered, spatiotemporally‐controlled activation of En‐Dz's catalytic activity results in enhanced cancer‐cell selectivity in the therapeutic treatment. Furthermore, the combination of enzyme‐activated mRNA regulation and sonodynamic therapy significantly enhances anti‐tumor efficacy both in vitro and in vivo. This work highlights the potential of integrating a sonodynamic strategy to overcome the current limitations of DNAzyme‐based gene regulators, providing a spatiotemporally‐controlled approach for precise tumor treatment.