Refinery spent caustic (RSC) is a highly contaminated wastewater originated from the petroleum refining industry with complicated chemistry and high toxicity. In this work, a novel three-dimensional electro-Fenton (3DEF) system assisted by electromagnetic induction was developed to treat an actual RSC with a chemical oxygen demand (COD) concentration of 27000–33000 mg/L. Industrial waste steel slag was used as both the particle electrode and the Fenton’s catalyst. Under optimal conditions, COD removal reached 93.6% within 90 min. Electromagnetic induction significantly enhanced COD degradation by promoting the corrosion of steel slag, inhibiting the electrode passivation, and enhancing the thermal activation of hydrogen peroxide. The reusability of steel slag was also enhanced by electromagnetic induction. Radical quenching tests demonstrate that hydroxyl radicals (•OH) played a main role in the pollutant degradation. The system is of good economic and environmental benefits with a total treatment cost of about 1.015 $/m3, achieving the objective of “treating waste with waste”.