Despite the intrinsic peroxidase-like activity of Prussian blue nanoparticles (PBNPs), their enzyme-mimic mechanism has been scarcely investigated to date. Herein, we probed the catalytic site of PBNPs for the first time, by comparing their peroxidase-like activity with that of a series of Prussian blue analogs (PBAs) in which Fe atoms were replaced by Co, Ni, and Cu. The PBNPs exhibited the highest maximal reaction velocity (1.941 μM·s−1), which was at least 13 times higher than that of the PBAs, demonstrating that the peroxidase-like properties of PBNPs could be ascribed to the FeNx (x = 4–6) instead of the FeC6 units. Notably, the PBNPs/H2O2 couple also showed much higher oxidizability than ·OH radicals produced from the Fenton reaction, implying that a high active Fe(IV)=O intermediate might be formed in the FeNx units. This study can thus pave the way for the wider application of PBNPs in biomimetic reactions.