The advent of enzyme-facilitated cascade events in which endogenous substrates within the human body are used to generate reactive oxygen species (ROS) has spawned novel cancer treatment possibilities. In this study, a supramolecular cascade catalytic nanozyme system was successfully developed, exhibiting photothermal-enhanced multienzyme cascade catalytic and glutathione (GSH) depletion activities and ultimately triggering the apoptosis-ferroptosis synergistic tumor therapy. The nanozyme system was fabricated using β-cyclodextrin-functionalized polydopamine (PDA) as the substrate, which was then entangled with polyoxometalate (POM) electrostatic forces and assembled with adamantane-grafted hyaluronic acid and glucose oxidase (GOx) host-guest supramolecular interaction for tumor targeting and GOx loading. The catalytic function of GOx facilitates the conversion of glucose to HO and gluconic acid. In turn, this process affirms the propitious generation of hydroxyl radical (OH) through the POM-mediated cascade catalysis. Additionally, the POM species actively deplete the intracellular GSH pool, initiating a cascade catalytic tumor therapy. In addition, the PDA-POM-mediated photothermal hyperthermia boosted the cascade catalytic effect and increased ROS production. This confers considerable promise for photothermal therapy (PTT)/nanocatalytic cancer therapy on supramolecular nanozyme systems. The and antitumor efficacy studies demonstrated that the supramolecular cascade catalytic nanozyme system was effective at reducing tumor development while maintaining an acceptable level of biocompatibility. Henceforth, this study is to widen the scope of cascade catalytic nanoenzyme production using supramolecular techniques, as well as endeavor to delineate a prospective pathway for the application of PTT-enhanced nanocatalytic tumor therapy.