Natural enzymes, such as biocatalysts, are widely used in biosensors, medicine and health, the environmental field, and other fields. However, it is easy for natural enzymes to lose catalytic activity due to their intrinsic shortcomings including a high purification cost, insufficient stability, and difficulties of recycling, which limit their practical applications. The unexpected discovery of the Fe3O4 nanozyme in 2007 has given rise to tremendous efforts for developing natural enzyme substitutes. Nanozymes, which are nanomaterials with enzyme-mimetic catalytic activity, can serve as ideal candidates for artificial mimic enzymes. Nanozymes possess superiorities due to their low cost, high stability, and easy preparation. Although great progress has been made in the development of nanozymes, the catalytic efficiency of existing nanozymes is relatively low compared with natural enzymes. It is still a challenging task to develop nanozymes with a precise regulation of catalytic activity. This review summarizes the classification and various strategies for modulating the activity as well as research progress in the different application fields of nanozymes. Typical examples of the recent research process of nanozymes will be presented and critically discussed.