Abstract As artificial substitutes for natural enzymes, nanozymes possess advantages such as high catalytic activity, low cost, excellent stability, and suitability for large‐scale production. Inspired by the cascade reactions in biological systems, constructing cascade nanozyme systems with step‐saving and high efficiency has been recognized as a key approach to enhancing the functional performance of nanozymes. With the discovery of more nanomaterials with various enzyme‐like activities, especially the unique multi‐enzyme activity of nanozymes, unprecedented opportunities have arisen for advancing biomimetic design to a higher level. Furthermore, aided by advanced tools such as theoretical calculations, the structural design and functional tuning of nanozymes have gradually become customizable and intelligent, significantly promoting their application in specific tasks ranging from biosensing to therapy. This review introduces the evolution of all‐nanozyme cascade reaction systems from a self‐cascading nanozyme system to immobilized nanozyme‐based cascade catalytic system, and introduces key mechanistic insights and commonly used research methods to clarify their catalytic characteristics and design principles. A detailed classification of all‐nanozyme cascade reaction systems is provided, and an analytical survey of recent applications of all‐nanozyme cascade reaction systems in biosensing and therapy is covered. Finally, this review discusses the challenges that all‐nanozyme cascade reaction systems may face in their application.