Currently, the limited intratumoral H2O2 level restricts the development of chemodynamic therapy (CDT). Herein, MoSe2/CoSe2@PEG nanosheets are prepared to reveal NIR‐photocatalytic H2O2 generation to insure the intracellular H2O2 supplement. The formation mechanism is investigated, showing the dissolved O2 and photo‐excited electrons to determine H2O2 production via sequential single‐electron transfer process. The experimental data and density functional theory calculation further display their typical‐II heterostructure, which possesses the effective charge separation and nearly four times H2O2 generation than MoSe2@PEG. In addition, the nanocomposites also reveal the peroxidase/catalase activity, making the in‐situ H2O2 activation and ·OH generation. And, the O2 production derived from catalase‐mimic activity not only relieves hypoxia but also offers the source for H2O2 production. Because of the decreased resistance for charge transfer, MoSe2/CoSe2@PEGs also reveal more than three times enzyme‐activity for MoSe2@PEG. With the narrow band gap and high NIR‐harvest, MoSe2/CoSe2@PEG exhibits the great photothermal converting ability (62.5%). MoSe2/CoSe2@PEG reveals the novel biodegradation, and most of them can be eliminated via urine and feces within 2 weeks. Here, the computed tomography/magnetic resonance imaging/photothermal imaging and the synergistic photothermal therapy/CDT treatments further make sure potential application on anticancer.