Immunotherapy, one of the most promising antitumor strategies, is used to treat prostate cancer (PCa). However, owing to the immunosuppressive tumor microenvironment (TME), the therapeutic effect of the antitumor immune response is greatly weakened. Therefore, there is an urgent need to explore new methods to enhance antitumor immune responses. In this study, a single‐atom nanozyme platform (Cu SA‐DOX@COD) that can trigger pyroptosis is developed to activate antitumor immune responses via a gasdermin E (GSDME)‐dependent pathway. It triggered pyroptosis by catalyzing the production of reactive oxygen species (ROS) and depleting reduced glutathione through intrinsic multi‐enzyme simulated activities and providing an oxygen source for cholesterol (CHOL) oxidation. Meanwhile, the loaded CHOL oxidase not only reduces the CHOL content of tumor cells to increase cell membrane permeability and inhibit tumor cell proliferation and invasion but also oxidizes CHOL and increases the level of H2O2 in tumor cells to enhance pyroptosis. In addition, the loaded doxorubicin activated caspase‐3 to cleave GSDME and further augment pyroptosis. Consequently, Cu SA‐DOX@COD enhances tumor cell immunocompetence and reshapes the immunosuppressive TME by triggering pyroptosis caused by a ROS storm, chemotherapy, and depleting CHOL, thereby activating systemic antitumor immunity to treat PCa.