Ferroptosis induction is an emerging strategy for tumor therapy. Reactive oxygen species (ROS) can induce ferroptosis but are easily consumed by overexpressed glutathione (GSH) in tumor cells. Therefore, achieving a large amount of ROS production in tumor cells without being consumed is key to efficiently inducing ferroptosis. In this study, we designed a self‐amplifying ferroptosis‐inducing therapeutic agent, Pd@CeO2‐Fe‐Co‐WZB117‐DSPE‐PEG‐FA (PCDWD), for tumor therapy. PCDWD exhibits excellent multi‐enzyme activities due to the loading of Fe‐Co dual atoms with abundant active sites, including peroxidase‐like enzymes, catalase‐like enzymes, and glutathione oxidases, which undergo catalytic reactions in the tumor microenvironment to produce ROS, thereby inducing ferroptosis. Furthermore, PCDWD can also deplete GSH in tumor cells, thus reducing the consumption of ROS by GSH and inhibiting the expression of glutathione peroxidase 4. Moreover, the photothermal effect of PCDWD can not only directly kill tumor cells but also further enhance its own enzyme activities, consequently promoting ferroptosis in tumor cells. In addition, WZB117 can reduce the expression of heat shock protein 90 by inhibiting glucose transport, thereby reducing the thermal resistance of tumor cells and further improving the therapeutic effect. Finally, X‐ray computed tomography imaging of PCDWD guide it to achieve efficient tumor therapy.This article is protected by copyright. All rights reserved