Nanozymes are attractive alternatives to natural enzymes due to their high stability and low cost. However, it is still a great challenge to acquire highly active, specific, and multi-functional nanozyme catalysts for chemo/biosensing and peroxymonosulfate (PMS) activation to degrade toxic dye pollutants. Metal-organic frameworks are attractive templates to construct multi-functional catalysts. Herein, Co3O4@Co-Fe oxide double-shelled nanocages (DSNCs) were prepared via anion-exchange combined with low-temperature pyrolysis by using ZIF-67 as a starting template. They maximized the advantages of a hollow nanostructure, acting as both nanoreactor and substrate channel, to mimic enzymes. This enables high peroxidase-like activity and very weak oxidase-like activity. The Km value of Co3O4@Co-Fe oxide DSNCs for H2O2 was 1.38 and 3.33-fold lower than those of single-shelled Co-Fe oxide and Co3O4 nanozymes, respectively. The high peroxidase-like activity of Co3O4@Co-Fe oxide DSNCs enabled H2O2 linear detection over the range 0.02 to 600 μM, with a detection limit of 20 nM. When coupled with the acetylcholinesterase/acetylthiocholine cascade enzymatic reaction, we proposed an ultra-sensitive colorimetric platform for acetylcholinesterase activity screening in the linear range over 8 × 10−4–1 mU mL−1, with a detection limit of 2 × 10−4 mU mL−1. The Co3O4@Co-Fe oxide DSNCs can active PMS to degrade 99.1% of acid fuchsin within 20 min, along with good reusability over ten-cycle run. The kinetics of 15 mg L−1 acid fuchsin degradation was 0.176 min−1 at 25 °C with 300 mg L−1 PMS and 150 mg L−1 DSNCs. This work details the attractive applications of DSNCs for chemo/biosensing and dye degradation.