The blockade of immune checkpoints has emerged as a promising strategy for cancer immunotherapy. However, most of the current approaches focus on T cells, leaving natural killer (NK) cell‐mediated therapeutic strategies rarely explored. Here, a selenium‐containing nanocomplex is developed that acts as a dual immune checkpoint inhibitor to reinvigorate NK cell‐based cancer immunotherapy. The Se nanocomplex can deliver and release siRNA that targets programmed death ligand‐1 (PD‐L1) in tumor cells, thereby silencing the checkpoint receptor PD‐L1. The intracellular reactive oxygen species generated by porphyrin derivatives in the nanocomplexes can oxidize the diselenide bond into seleninic acid, which blocks the expression of another checkpoint receptor, human leukocyte antigen E. The blockade of dual immune checkpoints shows synergistic effects on promoting NK cell‐mediated antitumoral activity. This study provides a new strategy to reinvigorate NK cell immunity for the development of combined cancer immunotherapy.