The cooperation of biocatalysis and chemocatalysis in a catalytic cascade reaction has received extensive attention in recent years, whereas its practical applications are still hampered due to the fragility of the enzymes, poor compatibility between the carriers and enzymes, and limited catalytic efficiency. Herein, a biomimetic cascade nanoreactor (GOx@COFs@Os) was presented by integrating glucose oxidase (GOx) and Os nanozyme with covalent organic framework (COF) capsule using metal-organic framework (ZIF-90) as a template. The obtained GOx@COFs@Os capsule provided a capacious microenvironment to retain the conformational freedom of GOx for maintaining its activity, wherein the enzyme activity of GOx in COF capsules was equal to 92.9% of the free enzyme and was 1.88-folds higher than that encapsulated in ZIF-90. Meanwhile, the COF capsule could protect the GOx against incompatible environments (high temperature, acid, and organic solvents), resulting in improved stability of the packaged enzymes. Moreover, the COF capsule with great pore structure significantly improved the affinity to substrates and facilitated efficient mass transfer, which achieved 2.19-folds improvement in catalytic efficiency than the free cascade system, displaying the great catalytic performance in the cascade reaction. More importantly, the biomimetic cascade capsule was successfully employed for glucose monitoring, glutathione sensing, and bisphenol S detection in the immunoassay as a proof-of-concept. Our strategy provided a new avenue in the improvement of biocatalytic cascade performance to encourage its wide applications in various fields.