Modulating electronic structure of metal nanoparticles via metal–support interaction has attracted intense interest in the field of catalytic science. However, the roles of supporting substrates in regulating catalytic properties of nanozymes remain elusive. In this study, we find that the use of graphdiyne oxide (GDYO) as the substrate for self-terminating growth of Ru nanoparticles (Ru@GDYO) endows the peroxidase-like activity of Ru nanoparticles with intrinsic physiological pH preference and natural horseradish peroxidase (HRP) comparable performance. Ru nanoparticles electrolessly deposited onto GDYO possess a partially oxidized electronic structure owing to limited charge transfer between Ru and GDYO, contributing to the intrinsic physiological pH preference of the peroxidase-mimicking nanozyme. More importantly, the substrate GDYO plays an influential factor in enhancing catalytic activity, that is, the activity of Ru@GDYO is much higher than that of Ru nanoparticles deposited on other carbon substrates including graphene oxides and graphdiyne. To demonstrate the application of Ru@GDYO nanozyme in neutral solutions, we employ Ru@GDYO with nicotinamide adenine dinucleotide (NAD⁺)-dependent dehydrogenases in physiological conditions to realize a sustainable cascade reaction by means of forming continuous NAD⁺/dihydronicotiamide adenine dinucleotide (NADH) recycling. Our finding represents a promising perspective on designing high-performance peroxidase-mimicking nanozymes with broader applicability, raising fundamental understanding of structure–activity relationship, and investigating new applications of nanozymes in biological systems.