Hypoxia in the solid tumor microenvironment (TME) can easily induce tumor recurrence, metastasis, and drug resistance. The use of man-made nanozymes is considered to be an effective strategy for regulating hypoxia in the TME. Herein, Ru@MnO2 nanozymes were constructed via an in situ reduction method, and they showed excellent photothermal conversion efficiency and catalytic activity. The anti-tumor drug DOX with fluorescence was loaded on the Ru@MnO2 nanozymes, and an erythrocyte membrane was further coated on the surface of the Ru@MnO2 nanozymes to construct nanozymes with on-demand release abilities. The erythrocyte membrane (RBCm) enhances the biocompatibility of the Ru@MnO2 nanozymes and prolongs their circulation time in the blood. Ru@MnO2 nanozymes can catalyze endogenous H2O2 to produce O2 to relieve hypoxia in the TME to enhance the efficacy of the photothermal therapy/chemotherapy of cancer. In vitro studies confirmed that the Ru@MnO2 nanozymes showed good tumor penetration abilities and a synergistic anti-tumor effect. Importantly, both in vivo and in vitro studies have confirmed that the oxygen supply in situ enhanced the efficacy of the PTT/chemotherapy of cancer. Accordingly, this study demonstrated that Ru@MnO2 nanozymes can be used as an effective integrated system allowing catalysis, photothermal therapy, and chemotherapy for cancer management.