In this study, iron-oxide was loaded into polystyrene macroporous microspheres containing sulfonate groups to prepare an environmental purification material with adsorption and Fenton-like oxidizing abilities. Iron-oxide is prone to inactivation due to reunion in the process of preparation and application, and this modification aimed to mitigate this problem. Subsequently, based on the microscopic characterization results and the effect on the treatment of methylene blue (MB) simulated wastewater, the structure-activity relationship of two key (OH− concentrations in precipitation solution and iron ion compositions in the impregnation solution) factors with the adsorption and catalytic oxidation ability of the iron-oxide nano-confined materials were explored. The results indicated that the samples both exhibited adsorption and catalytic oxidation capabilities. The removal efficiency of MB simulated wastewater can reached 95.3% after adsorption for 9 h, reaching 99.98% after catalytic oxidation for 6 h. In addition, the removal efficiency of the MB simulated wastewater exceeded 95% after 6 cycles. The concentration of OH− in precipitation solution could affect the volume of iron crystals on the carrier which affected the pore size of the sample and the adsorption capacity. It also influenced whether iron ions could be stably loaded inside the carrier, determining the conducting homogeneous or heterogeneous Fenton-like reactions and the stability of the samples. The composition of iron ions in the impregnating solution regulated the volume of the crystals and adsorption sites, which influenced the adsorption ability of the samples. In addition, the presence of Fe2+ could promote the progress of Fenton-like reactions. The identification results of the ROSs showed that •OH was the main free radical. The quenching experiment results showed that the contribution rate of •OH toward MB degradation reached 99.81%. In addition, the possible degradation pathways of MB were analyzed.