Nanoscale zero-valent iron (nZVI) incorporated with nanomagnetic diatomite (DE) composite material was prepared for catalytic degradation of methylene blue (MB) in heterogeneous Fenton system. The material was constructed by two facile steps: Fe3O4 magnetic nanoparticles were supported on DE by chemical co-precipitation method, after which nZVI was incorporated into magnetic DE by liquid-phase chemical reduction strategy. The as-prepared catalyst was characterized by scanning electron microscopy, Fourier-transform infrared spectroscopy, X-ray diffraction, magnetic properties measurement and nitrogen adsorption–desorption isotherm measurement. The novel nZVI@Fe3O4-diatomite nanocomposites showed a distinct catalytic activity and a desirable effect for degradation of MB. MB could be completely decolorized within 8 min and the removal efficiency of total organic carbon could reach to 90% after reaction for 1 h.