The hypoxic microenvironment in osteosarcoma inevitably compromises the antitumor effect and local bone defect repair, suggesting an urgent need for sustained oxygenation in the tumor. The currently reported oxygen-releasing materials have short oxygen-releasing cycles, harmful products, and limited antitumor effects simply by improving hypoxia. Therefore, the PCL/nHA/MgO/PDA-integrated oxygen-releasing scaffold with a good photothermal therapy effect was innovatively constructed in this work to achieve tumor cell killing and bone regeneration functions simultaneously. The material distributes MgO powder evenly on the scaffold material through 3D printing technology and achieves the effect of continuous oxygen release (more than 3 weeks) through its slow reaction with water. The in vitro and in vivo results also indicate that the scaffold has good biocompatibility and sustained-release oxygen properties, which can effectively induce the proliferation and osteogenic differentiation of bone mesenchymal stem cells, achieving excellent bone defect repair. At the same time, in vitro cell experiments and subcutaneous tumorigenesis experiments also confirmed that local oxygen supply can promote osteosarcoma cell apoptosis, inhibit proliferation, and reduce the expression of heat shock protein 60, thereby enhancing the photothermal therapy effect of polydopamine and efficiently eliminating osteosarcoma. Taken together, this integrated functional scaffold provides a unique and efficient approach for antitumor and tumor-based bone defect repair for osteosarcoma treatment.