The immune response in cancer reflects a series of carefully regulated events; however, current tumor immunotherapies typically address a single key aspect to enhance anti‐tumor immunity. In the present study, we developed a nanoplatform (Fe3O4@IR820@CpG)‐based immunotherapy strategy that targets the multiple key steps in cancer‐immunity cycle: 1) promotes the release of tumor‐derived proteins (TDPs), including tumor‐associated antigens and pro‐immunostimulatory factors), in addition to the direct killing effect, by photothermal (PTT) and photodynamic therapy (PDT); 2) captures the released TDPs and delivers them, together with CpG (a Toll‐like receptor 9 [TLR‐9] agonist) to antigen presenting cells (APCs) to promote antigen presentation and T cell activation; 3) enhances the tumor‐killing ability of T cells by combining with anti‐programmed death ligand 1 antibody (α‐PD‐L1), which collectively advances our outstanding of the anti‐tumor effects on colorectal, liver and breast cancers. The broad‐spectrum anti‐tumor activity of Fe3O4@IR820@CpG with α‐PD‐L1 demonstrated that optimally manipulating anti‐cancer immunity not singly but as a group provides promising clinical strategies.This article is protected by copyright. All rights reserved