Nanozymes (NZs) are nanomaterials able to mimic natural enzymes, offering the advantages of better durability, wider range of operational conditions, and easier functionalization. In addition, some NZs exhibit multiple enzyme‐like activities and effective tandem/self‐cascade reactions. In this context, metallic and metal–oxide nanoparticles are among the most promising candidates for biomedical/biotechnological applications, thanks to their efficient oxidoreductase activities. However, characterizing NZs is challenging because the experimental set‐up of different assays strongly influence their performances. Consequently, currently available literature provides limited understanding of the characteristics of the various NZs, especially in terms of activity‐related performance, hindering their optimal selection and applicative potential. Here, leveraging on accurate characterization methodology, we report a direct comparison of several NZs (gold‐Au, platinum‐Pt, palladium‐Pd, ceria, iron oxide) possessing multi‐enzymatic activities. Our main findings indicate that 1) PtNZs outperform the other tested NZs in catalase‐like activity; 2) Pt and PdNZs present superior superoxide dismutase‐like activity; 3) for peroxidase‐ and oxidase‐like activity, the best‐performing NZ is substrate‐dependent; 4) competitive reactions in multifunctional NZs play a key role in their specific performance, and AuNZs can be the optimal choice in some peroxidase/oxidase configurations; 5) metallic NZs are more efficient than metal‐oxide ones, but 6) ceria presents unique phosphatase‐like activity.