A new class of catalytically self‐propelled nanomotors were fabricated by modifying natural clay tubes, halloysite, with randomly distributed particles of MnO2 and Fe3O4. The prepared MnO2–Fe3O4/HNTs composites were validated to be efficient Fenton catalysts in the degradation of rhodamine B (RhB). Compared to the previous preparation of rolled‐up microtubes or other template‐assisted syntheses, this strategy has its merits in utilizing clay minerals of abundance, cheap‐price, and no complex instruments needed. The nanomotors were able to be prepared on a large scale. The MnO2–Fe3O4/HNTs motors displayed powerful autonomous movement, and a high velocity of up to 380 µm s−1 was achieved in 5.0 wt. % H2O2 solution. For Fenton catalysis of RhB, the removal ratio of 94% dye molecules was obtained within 30 min, which was triply higher than other samples of the nonpropelling sample Fe3O4/HNTs. The autonomous movement provided adsorptive bubble separation, and the adsorption capacity was greatly enhanced by halloysite. These synergistic effects boosted the removal efficiency of dye molecules. The presence of magnetic MnO2–Fe3O4 made these motors move directionally in external magnetic fields and provided a facile recovery for collecting heterogeneous catalysts.