Developing efficient and environmentally friendly catalytic system is significant for the removal of sulfide in fuel. O-bridged diiron perfluorophthalocyanine/4-mercaptopyridine (FePcF16-O-FePcF16/4-Mpy) as a novel composite catalyst was designed and prepared by axial coordination. The catalyst characterization was conducted through ultraviolet–visible spectroscopy, fourier transform infrared spectroscopy, X-ray diffractometry, electrospray ionization–mass spectrometry and density-functional theory technology. A high-efficient extraction oxidative desulfurization system is composed of hydrogen peroxide (H2O2), the mixture of ethanol and water and FePcF16-O-FePcF16/4-Mpy. Notably, the coordination of 4-Mpy greatly enhanced the catalytic activity of FePcF16-O-FePcF16, 99.4% of the desulfurization rate was achieved in 20 min at 30 °C. The catalyst system was cycled 8 times without significantly reducing the removal of dibenzothiophene. Electron paramagnetic resonance and gas chromatography–mass spectroscopy proved the high-valent iron-oxo intermediates were the main active substances in the FePcF16-O-FePcF16/4-Mpy/H2O2 system, and the pathway of catalytic oxidation DBT was proposed. This work provided useful insights to select suitable ligands to improve the activity of metal phthalocyanine, and offered a novel idea for the construction of efficient oxidative desulfurization system.