DNAzymes are catalytically active DNA molecules that are obtained via in vitro selection. RNA-cleaving DNAzymes have attracted significant attention for both therapeutic and diagnostic applications due to their excellent programmability, stability, and activity. They can be designed to cleave a specific mRNA to down-regulate gene expression. At the same time, DNAzymes can sense a broad range of analytes. By combining these two functions, theranostic DNAzymes are obtained. This review summarizes the progress of DNAzyme for theranostic applications. First, in vitro selection of DNAzymes is briefly introduced, and some representative DNAzymes related to biological applications are summarized. Then, the applications of DNAzyme for RNA cleaving are reviewed. DNAzymes have been used to cleave RNA for treating various diseases, such as viral infection, cancer, inflammation and atherosclerosis. Several formulations have entered clinical trials. Next, the use of DNAzymes for detecting metal ions, small molecules and nucleic acids related to disease diagnosis is summarized. Finally, the theranostic applications of DNAzyme are reviewed. The challenges to be addressed include poor DNAzyme activity under biological conditions, mRNA accessibility, delivery, and quantification of gene expression. Possible solutions to overcome these challenges are discussed, and future directions of the field are speculated.