Radiotherapy (RT) is an extensively used strategy for cancer treatment, but its therapeutic effect is usually limited by the abnormal tumor microenvironment (TME) and it lacks the ability to control tumor metastases. In this work, a nanoscale coordination polymer, Hf‐nIm@PEG (HNP), is prepared by the coordination of hafnium ions (Hf4+) with 2‐nitroimidazole (2‐nIm), and then modified with lipid bilayers containing poly(ethylene glycol) (PEG). Under low‐dose X‐ray irradiation, on the one hand, Hf4+ with high computed tomography signal enhancement ability can deposit radiation energy to induce DNA damage, and on the other hand, NO can be persistently released from 2‐nIm, which can not only directly react with the radical DNA to prevent the repair of damaged DNA but also relieves the hypoxic immunosuppressive TME to sensitize radiotherapy. Additionally, NO can also react with superoxide ions to generate reactive nitrogen species (RNS) to induce cell apoptosis. More interestingly, it is discovered that Hf4+ can effectively activate the cyclic‐di‐GMP‐AMP synthase (cGAS)‐stimulator of interferon genes (STING) pathway to promote the immune responses induced by radiotherapy. Thus, this work presents a simple but multifunctional nanoscale coordination polymer to deposit radiation energy, trigger the release of NO, modulate the TME, activate the cGAS‐STING pathway, and finally realize synergistic radio‐immunotherapy.