Bone tumors with high mortality and disability have become a major clinical challenge. Herewith, it is necessary to design materials for bone tumor therapy and bone repair. In this work, Fe-doped polypyrrole (Fe-Ppy) and CaO2 are constructed on sulfonated polyetheretherketone (SP) to form a multistage-responsive coating. The coating achieves long-lasting antitumor through chemodynamic therapy (CDT), photothermal therapy (PTT), and combined immunotherapy. Fe-Ppy acts as an electron pump to replenish Fe2+ through oxidizing -NH- to -N+-, which lasts the Fenton reaction and persistently produces reactive oxygen species (ROS) in the tumor microenvironment (TME). CaO2 selectively provides exogenous H2O2 in response to TME to boost the electron cycle. Stronger near-infrared light absorption due to Fe doping and more photon traps caused by porous structure-induced scattering and refraction diminishment improve the photothermal conversion of modified SP. Furthermore, long-lasting ROS and effective photothermal conversion enhance M1 activation to secrete TNF-alpha and IFN to kill tumor cells. After tumor therapy, Fe-Ppy@CaO2-modified SP could adaptively switch the macrophage to M2 and promote osteogenesis with the abolishment of TME and NIR stimulation. In summary, Fe-Ppy@CaO2-modified SP with long-lasting ROS, enhanced photothermal conversion, and immunomodulation is a potential candidate for bone tumor therapy and tissue repair.