A hetero-Fenton zeolite-supported Fe3O4 catalyst was synthesized using a simple impregnation–precipitation method. The structure, morphology, and components of the catalyst were characterized using various analytical methods (XRD, SEM, and ICP-MS). Subsequently, the catalyst was used to degrade the azo dye methylene blue (MB), via a heterogeneous photo-Fenton process under UV irradiation in an aqueous solution. This study investigated the influence of different parameters on MB decolorization efficiency, such as the initial concentration of hydrogen peroxide, amount of catalyst, initial dye concentration, and reusability of the catalyst. The removal efficiency was nearly 100% within only 5 min with an initial concentration of methylene blue of 50 mg L−1 under the following experimental conditions: a pH solution of 3, a catalyst of 0.6 g L−1, an H2O2 concentration of 66 mg L−1, and a UV lamp power of 6 W. Moreover, the Fe3O4/zeolite A catalyst (Fe/ZA) showed good stability in the photo-Fenton degradation of methylene blue after four consecutive cycles, implying that the Fe/ZA catalyst could be a potential wastewater treatment option. Furthermore, the findings of the reaction kinetics study demonstrate that the kinetics of the dye removal reaction can be fitted using the Langmuir–Hinshelwood model for heterogeneous catalytic reactions.