Major challenges for cancer treatment are how to effectively eliminate primary tumor and sufficiently induce immunogenic cell death (ICD) to provoke a robust immune response for metastasis control. Here, a self-assembled cascade bioreactor was developed to improve cancer treatment with enhanced tumor penetration and synergistic therapy of starvation, chemodynamic (CDT) and photothermal therapy. Ultrasmall FeS-GOx nanodots were synthesized with glucose oxidase (GOx) as template and induced by paclitaxel (PTX) to form self-assembling FeS-GOx@PTX (FGP) via hydrophobic interaction. After accumulated at tumor sites, FGP disassembles to smaller FeS-GOx for enhanced deep tumor penetration. GOx maintains high enzymatic activity to catalyze glucose with assistant of oxygen to generate hydrogen peroxide (H2O2) as starvation therapy. Fenton reaction involving the regenerated H2O2 in turn produced more hydroxyl radicals for enhanced CDT. Following near-infrared laser at 808 nm, FGPs displayed pronounced tumor inhibition in vitro and in vivo by the combination therapy. The consequent increased exposure to calreticulin amplified ICD and promoted dendritic cells maturation. In combination with anti-CTLA4 checkpoint blockade, FGP can absolutely eliminate primary tumor and avidly inhibit distant tumors due to the enhanced intratumoral infiltration of cytotoxic T lymphocytes. Our work presents a promising strategy for primary tumor and metastasis inhibition.