The recent years have witnessed the blooming of cancer immunotherapy, as well as their combinational use together with other existing cancer treatment techniques including radiotherapy. However, hypoxia is one of several causes of the immunosuppressive tumor microenvironment (TME). Herein, we develop an innovative strategy to relieve tumor hypoxia by delivering exogenous H2O2 into tumors and the subsequent catalase-triggered H2O2 decomposition. In our experiment, H2O2 and catalase are separately loaded within stealthy liposomes. After intravenous (iv) preinjection of CAT@liposome, another dose of H2O2@liposome is injected 4 h later. The sustainably released H2O2 could be decomposed by CAT@liposome, resulting in a long lasting effect in tumor oxygenation enhancement. As the result, the combination treatment by CAT@liposome plus H2O2@liposome offers remarkably enhanced therapeutic effects in cancer radiotherapy as observed in a mouse tumor model as well as a more clinically relevant patient-derived xenograft tumor model. Moreover, the relieved tumor hypoxia would reverse the immunosuppressive TME to favor antitumor immunities, further enhancing the combined radio-immunotherapy with cytotoxic T lymphocyte-associated antigen 4 (CTLA4) blockade. This work presents a simple yet effective strategy to promote tumor oxygenation via sequential delivering catalase and exogenous H2O2 into tumors using well-established liposomal carriers, showing great potential for clinical translation in radio-immunotherapy of cancer.