Highly toxic radicals including reactive oxygen species (ROS) and reactive nitrogen species (RNS) in cigarette smoke play an important role in oxidative damage of the lungs, which cannot be efficiently scavenged by current filter techniques. Herein, a novel alendronate-coated nanoceria (CeAL) nanozyme is explored for cigarette filter modification for ROS/RNS scavenging. The CeAL nanozyme with an adjustable oxidation state and high thermal stability exhibits an excellent superoxide dismutase (SOD)-like activity, hydroxyl radical elimination capacity, catalase-mimicking activity, and nitric oxide radical scavenging ability. These synergistic antioxidant abilities make the CeAL nanozyme a lucrative additive for cigarette filters. The filter incorporated with the CeAL nanozyme can efficiently scavenge ROS/RNS in the hot smoke generated by burned commercial cigarettes, resulting in reduction of oxidative stress-induced pulmonary injury and acute inflammation of mice. The developed CeAL nanozyme opens up new opportunities for cigarette filter modification to decrease the toxicity of cigarette smoke and expands the application fields of nanoceria.