Polytetrafluoroethylene emulsion was ultrasonically mixed with an extremely spinnable poly(acrylic acid-co-hydroxyethyl methacrylate) solution to get a dispersion with good spinnability, and the obtained dispersion was then wet-spun into water-swellable fiber. Crosslinking agents and iron species were simultaneously introduced into the water-swellable fiber through simple impregnation and water swelling. A composite fiber with Fenton reaction-catalyzing function was then fabricated by sequentially conducting crosslinking and sintering treatment. Due to crosslinking-induced good resistance to water swelling and PTFE component-induced hydrophobicity, the composite fiber showed a highly stable activity to catalyze H2O2 to oxidatively decolorize methylene blue (MB). Within nine cycles, the composite fiber could decolorize more than 90% of MB within one minute in the presence of H2O2 and did not show any attenuation in MB decolorization efficiency. The composite fiber still could reduce the total organic carbon of MB aqueous solution from 18.3 to 10.3 mg/L when used for the ninth time. Therefore, it is believable that the prepared fiber has good and broad application prospects in the field of dye wastewater treatment.