Developing artificial nanozyme has been demonstrated to be a promising approach to replace natural enzyme and promote industrialization of enzymes. Covalent organic frameworks (COFs) has aroused great interest in mimicking the structure of natural enzymes owing to its abundant functional group. However, without metal component, COFs suffered from unsatisfactory enzyme-like activity. Here, inspired by natural enzyme, FeS₂-encapsulated COFs (FeS₂@SNW-1) was designed as novel peroxidase-like nanozyme via hydrothermal and solvothermal method for the first time. The results of kinetic experiments demonstrate that the obtained peroxidase-like nanozyme has higher affinity for substrate molecules than natural horse radish peroxidase (HRP). Importantly, the potential application of FeS₂@SNW-1 nanozyme was evaluated by dual-signal detection of the biomolecule glutathione (GSH) in the cell lysate. Meanwhile, the satisfactory results highlight that it is an effective strategy to improve the stability and reusability of the nanozyme by utilizing the outer layer of COFs to encapsulate the active site FeS₂. In addition, facile fluorescent test strip was developed to detect GSH based on nanozyme. This study will not only provide favorable approach to design ideal nanozyme, but also broaden the analytical application of COF-based nanozyme.