Enzyme-activated prodrug therapy has emerged as an effective strategy for cancer therapy. However, the inefficient delivery of prodrug-activating enzymes into tumor tissues leads to unsatisfactory antitumor efficacy and undesirable toxicity to normal tissues. Herein, we report in situ growth of a thermosensitive polymer of poly(diethylene glycol) methyl ether methacrylate (PDEGMA) from horseradish peroxidase (HRP) to yield a HRP-PDEGMA conjugate with well-retained activity as compared to HRP. The conjugate shows a sharp phase transition behavior with a lower critical solution temperature of 23 °C. The conjugate catalyzes the conversion of non-cytotoxic indole-3-acetic acid (IAA) into cytotoxic species for killing tumor cells. Notably, the PDEGMA conjugation not only increases the stability and cellular uptake of HRP but also prolongs the tumor retention time of HRP upon intratumoral injection. As a result, in mice bearing melanoma, the conjugate inhibits the growth of melanoma much more efficiently than HRP. These results demonstrate that the thermosensitive polymer conjugation of an enzyme is an effective strategy that can enhance the antitumor efficacy of an enzyme-activated prodrug.