Traditional anti-oxidant drugs possess limited active sites and short half-lives that hamper the efficiency of the removal of excessive reactive oxygen species (ROS) that are linked to various diseases. On this point, the CeO2 nanozyme has recently attracted much attention because of its anti-oxidant ability to act as a ROS scavenger. While introducing trivalent ions into CeO2 helps induce the increasing Ce3+, it may damage the auto-regenerative ability and finally lead to decreased ROS activities. Here, Fe-Ce mixed oxides (Fe-CeO2) is developed as a nanozyme with adjustable oxygen vacancies. The ROS scavenging capabilities of Fe-CeO2 outperformed those of CeO2, primarily due to a higher concentration of oxygen vacancies. Moreover, the auto-regenerative properties of CeO2 are still retained after forming Fe-Ce mixed oxides. To delve into the enhanced scavenging activity driven by the increasing oxygen vacancies, we employ density functional theory (DFT) calculations to provide a comprehensive explanation, which can be attributed to the stimulated generation of oxygen vacancies and the more energetically favorable reaction path. This study provides a more profound understanding of the structure–activity relationship in nanozymes and inspires a novel approach for a highly efficient ROS scavenger via defect engineering.