The fabrication of functional wound dressing for effective hemostasis, anti-inflammation as well as angiogenesis is of vital importance. In this paper, a three-dimensional (3D) nanofiber sponge with dimethyloxaloglycine (DMOG) loaded mesoporous spheres of derivatives of Prussian blue analogues (PBA) was prepared (3D-PBAFeCo-DMOG). The nanostructure, composition, and mechanical properties of 3D-PBAFeCo-DMOG were characterized, showing regular nanostructure and good mechanical property. The behaviour of in vitro drug release showed the DMOG could achieve long-term and stable release by encapsulating in PBAFeCo microspheres and nanofibers. In vitro coagulation experiments showed that 3D-PBAFeCo-DMOG had effective hemostasis and clotting capacities. In addition, the antioxidant capacity and cell compatibility of 3D-PBAFeCo-DMOG were confirmed. These results indicate that 3D-PBAFeCo-DMOG nanofiber sponge, as a controlled drug release system, may provide a new strategy for promoting angiogenesis and wound healing for clinical applications.