Nanozymes have the advantages of simple synthesis, high stability, low cost and easy recycling, and can be applied in many fields including molecular detection, disease diagnosis and cancer therapy. However, most of the current nanozymes suffer from the defects of low catalytic activity and single function, which limits their sensing sensitivity and multifunctional applications. The development of highly active and multifunctional nanozymes is an important way to realize multidisciplinary applications. In this work, Mn-based Prussian blue analogues (Mn-PBA) and their derived double-shelled nanoboxes (DSNBs) are synthesized by co-precipitation method. The nanobox structure of DSNBs formed by etching Mn-PBA with tannic acid endows Mn-PBA DSNBs with better peroxidase-like activity than Mn-PBA. A colorimetric method for the rapid and sensitive determination of HO is developed using Mn-PBA DSNBs-1.5 as a sensor with a detection limit as low as 0.62 μM. Moreover, Mn-PBA DSNBs-2 has excellent photothermal conversion ability, which can be applied to the photothermal therapy of tumors to inhibit the proliferation of tumor cells without damaging other tissues and organs. This study provides a new idea for the rational design of nanozymes and the expansion of their multi-functional applications in various fields.