The complete cancer-immunity cycle is essential for successful tumor immunotherapy. However, disrupted immune rhythms and incomplete immune cycles mutually reinforce each other, creating a lethal vicious cycle that leads to in immune failure in tumors. Inspired by tumor hypoxia's chronobiological regulation, we developed oxygen-delivering polymeric micelles (PSCe6-PFH) to establish independent therapeutic rhythms in the tumors to refine the cancer-immunity cycle and achieve effective anti-tumor outcomes. We experimentally demonstrated that incorporating a defined dark phase in photoimmunotherapy enables hypoxia alleviation through micellar oxygen release, boosting dendritic cell maturation by 1.5-fold compared to the saline group. Subsequent light-triggered ROS generation not only induced immunogenic cell death but also enhanced tumor-infiltrating CD8+ T lymphocytes by 3.2-fold, completing the cancer-immunity cycle. Our research reveals that it is important to align biological rhythms with cancer-immune cycles in clinical tumor immunotherapy, particularly when involving oxygen-related treatments such as radiotherapy and photodynamic therapy.