The therapeutic effect of reactive oxygen species (ROS)-involved cancer therapies is significantly limited by shortage of oxy-substrates, such as hypoxia in photodynamic therapy (PDT) and insufficient hydrogen peroxide (H₂O₂) in chemodynamic therapy (CDT). Here, we report a H₂O₂/O₂ self-supplying nanoagent, (MSNs@CaO₂-ICG)@LA, which consists of manganese silicate (MSN)-supported calcium peroxide (CaO₂) and indocyanine green (ICG) with further surface modification of phase-change material lauric acid (LA). Under laser irradiation, ICG simultaneously generates singlet oxygen and emits heat to melt the LA. The exposed CaO₂ reacts with water to produce O₂ and H₂O₂ for hypoxia-relieved ICG-mediated PDT and H₂O₂-supplying MSN-based CDT, acting as an open source strategy for ROS production. Additionally, the MSNs-induced glutathione depletion protects ROS from scavenging, termed reduce expenditure. This open source and reduce expenditure strategy is effective in inhibiting tumor growth both in vitro and in vivo, and significantly improves ROS generation efficiency from multi-level for ROS-involved cancer therapies.