Osteosarcoma (OS) poses a severe threat to human health, and the standard clinical treatment involves prosthetic replacement after surgical removal combined with radiotherapy and chemotherapy. However, the recurrence of residual tumors and extensive bone defects leads to a poor prognosis for patients. Zoledronic acid (ZA) is clinically used for tumor treatment and osteoclast inhibition. Nevertheless, intravenous infusion of ZA has poor targeting and significant toxicity to normal tissues. Biodegradable Mg alloys have excellent mechanical and biological compatibility, making them ideal for orthopedic implants. However, their application is limited due to poor corrosion resistance. This work applied a multi-composite layered double hydroxide (LDH)-ZA/PDA coating to the surface of ZE21C alloy. The composite coating adsorbed ZA in weakly alkaline or neutral conditions and released ZA under near-infrared (NIR) irradiation in the tumor microenvironment (TME). The stimuli-responsive release of ZA was confirmed to be related to the NIR-TME-triggered change in LDH interlayer spacing. In vitro and in vivo experiments showed that this multi-composite coating improved corrosion resistance, responded to TME and NIR stimuli to release ZA and reactive oxygen species, effectively targeting and killing tumor cells and osteoclasts through the AKT/GSK-3β signaling pathway. It also transformed OS from “cold tumors” into “hot tumors”, reactivated macrophage-mediated tumor immunity, and promoted osteogenesis. The chemo-thermal-therapeutic approach of the composite coating achieves a “three-birds-with-one-stone” effect. This study offers new insights into applying Mg alloys in prosthetic replacements after OS surgery.