Nanozymes, as synthetic nanomaterials that catalyze the conversion of enzyme substrates to products and follow enzymatic kinetics, have emerged as powerful agents for combating oxidative stress-related diseases by scavenging reactive oxygen species (ROS). In recent years, constructing multifunctional integrated systems by integrating nanozymes with therapeutic drugs or endowing them with efficient delivery capabilities through surface functionalization strategies has become one of the cutting-edge directions. This review explores recent progress in three key surface modification approaches-chemical conjugation, physical encapsulation, and drug loading-that collectively enable synergistic therapeutic effects, precise targeting, and effective penetration of biological barriers. Chemical conjugation allows for the direct attachment of molecules to nanozyme surfaces, enhancing synergistic efficacy and targeting specificity. Physical encapsulation using mesoporous structures, hydrogels, or microneedles improves nanozyme stability, extends retention, and facilitates controlled release. Drug-loading strategies further expand the therapeutic potential by enabling co-delivery of antioxidants and other functional agents to complex pathological environments. Despite these promising advancements, challenges remain in elucidating the fundamental catalytic mechanisms of nanozymes, ensuring long-term biocompatibility, and achieving scalable clinical translation. Future efforts should focus on developing dynamically responsive systems, achieving precision catalysis, and fostering interdisciplinary integration to accelerate the evolution of nanozyme-based therapeutics. This review systematically summarizes the modification strategies from a surface perspective, offering insights for constructing multifunctional systems.