Diabetic ulcer is a severe complication of diabetes that can lead to amputation due to the overproduction of pro-inflammatory factors and reactive oxygen species (ROS). In this study, a composite nanofibrous dressing was developed by combining Prussian blue nanocrystals (PBNCs) and heparin sodium (Hep) through electrospinning, electrospraying, and chemical deposition. The nanofibrous dressing (PPBDH) was designed to take advantage of the excellent pro-inflammatory factor-adsorbing capability of Hep and the ROS-scavenging capabilities of PBNCs, resulting in synergistic treatment. It is worth noting that the nanozymes were firmly anchored to the fiber surfaces through slight polymer swelling caused by the solvent during electrospinning, thereby guaranteeing the preservation of the enzyme-like activity levels of PBNCs. The PPBDH dressing was found to be effective in reducing intracellular ROS levels, protecting cells from ROS-induced apoptosis, and capturing excessive pro-inflammatory factors, including chemoattractant protein-1 (MCP-1) and interleukin-1β (IL-1β). Furthermore, a chronic wound healing evaluation conducted in vivo demonstrated that the PPBDH dressing was able to effectively alleviate the inflammatory response and accelerate wound healing. This research presents an innovative approach to fabricate nanozyme hybrid nanofibrous dressings, which have great potential in accelerating the healing of chronic and refractory wounds with uncontrolled inflammation.