We have developed one versatile spatially confined self-assembly strategy to integrate cyanometallate-based coordination polymers with functional metal oxides into well-defined core@shell heterostructures. The structure, composition, size and morphology of the heterostructures could be facilely controlled. The obtained Fe3O4@Prussian blue heterostructure was evaluated as an appealing multifunctional thermal ablation agent exhibiting response to both magnetic field and light irradiation.