Recently emerged cancer immunochemotherapy has provided enormous new possibilities to replace traditional chemotherapy in fighting tumor. However, the treatment efficacy is hampered by tumor hypoxia-induced immunosuppression in tumor microenvironment (TME). Herein, we fabricated a self-oxygenation/degradable inorganic nanozyme with a core–shell structure to relieve tumor hypoxia in cancer immunochemotherapy. By integrating the biocompatible CaO2 as the oxygen-storing component, this strategy is more effective than the earlier designed nanocarriers for delivering oxygen or H2O2, and thus provides remarkable oxygenation and long-term capability in relieving hypoxia throughout the tumor tissue. Consequently, in vivo tests validate that the delivery system can successfully relieve hypoxia and reverse the immunosuppressive TME to favor antitumor immune responses, leading to enhanced chemoimmunotherapy with cytotoxic T lymphocyte-associated antigen 4 blockade. Overall, a facile, robust and effective strategy is proposed to improve tumor oxygenation by using self-decomposable and biocompatible inorganic nanozyme reactor, which will not only provide an innovative pathway to relieve intratumoral hypoxia, but also present potential applications in other oxygen-favored cancer therapies or oxygen deficiency-originated diseases.