As a typical multi-enzymic nanozyme, Prussian blue nanozymes (PBNZs) mimic the catalytic functions of superoxide dismutase (SOD), catalase (CAT), and peroxidase (POD) enzymes in a pH-dependent manner. Due to their capacity to modulate reactive oxygen species (ROS), PBNZs are considered a promising tool for immune modulation, particularly in the directional regulation of macrophage polarization. However, the biological dynamics of pH-dependent multienzyme activity in cells remain poorly understood. Here, we demonstrate that the intracellular localization of PBNZs is a critical factor in their regulation of ROS and macrophage polarization. Smaller-sized PBNZs (3 nm) efficiently bypass acidic lysosomal environments (pH 4.6) and accumulate in the cytosol (pH 7.4) where they exhibit reduced POD-mimic activity and enhanced CAT- and SOD-mimic functions. Conversely, larger-sized PBNZs (60 nm and 170 nm) predominantly remained in acidic lysosomes (pH 4.6), exhibiting stronger POD-mimic activity but minimal CAT-mimic function. Additionally, we identify hypoxia-inducible factor 1-alpha (HIF-1a) as a potential mediator that senses alterations in intracellular oxygen(O2) levels induced by PBNZs, thus modulating the transcription of genes involved in macrophage polarization. Moreover, oral administration with 3 nm PBNZs effectively mitigated dextran sodium sulfate (DSS)-induced acute colitis in mice, owing to their great capacity to modulate macrophage function. Our study provides insights into the complex behavior of multi-enzymatic PBNZs within the intracellular milieu, reveals their protective effect in treating colitis, and offers a foundational rationale for the tailored design of multi-enzymic nanozymes with specific macrophage modulatory properties for prophylactic applications.