Mesoporous magnetic Prussian Blue (PB) particles are good condidates for theragnostic nanomedicine. However, there are lack of efficient methods for fabrication of such materials. Here, we reported the synthesis of the mesoporous yolk-shell Fe3O4@PB particles by one-pot coordination replication and etching. Time-dependent transmission electron microscopy illustrated that the PB crystals nucleated and grew on the surface of Fe3O4 spheres by coordination replication with the help of protons. The extra protons in the reaction medium further disassociated the Fe3O4 and PB, leading to mesoporous particles. The mesoporous yolk-shell Fe3O4@PB particles showed enhanced efficacy for loading cisplatin. The release of the drug molecules could be facilitated by increasing temperature. Both photo irradiation and alternating magnetic fields could trigger the release of heat from the composite. The obtained materials could delivery cisplatin to kill cancer cell intracellularly.