Nanomedicines based on nanoscale metal peroxides have multifunctional properties for cancer theranostics, such as producing bioactive small molecules (e.g., metal ions, H2O2, O2, and OH-). Among various metal peroxides, calcium peroxide (CaO2) nanomedicines are widely studied due to their easy synthesis and biocompatibility. CaO2 nanoparticles can treat cancers through three main mechanisms: (1) producing O2 to alleviate tumor hypoxia and enhance O2-dependent therapies (e.g., chemotherapy, photodynamic therapy, and immunotherapy); (2) generating H2O2, the precursor of ·OH that triggers cancer chemodynamic therapy; and (3) releasing Ca2+ that induces calcium overload and calcification, which impair tumor survival (ion-interference therapy). This review summarizes the recent examples of CaO2 nanoparticle-based cancer therapeutic strategies and discusses the challenges and future directions of CaO2 nanomedicines.