Cancer immunotherapy involves a cascade of events that ultimately leads to cytotoxic immune cells effectively identifying and destroying cancer cells. Responsive nanomaterials, which enable spatiotemporal orchestration of various immunological events for mounting a highly potent and long-lasting anti-tumor immune response, are an attractive platform to overcome challenges associated with existing cancer immunotherapies. Here, we report a multifunctional near infrared (NIR)-responsive core-shell nanoparticle, which enables (i) photothermal ablation of cancer cells for generating tumor associated antigen (TAA) and (ii) triggered release of an immunomodulatory drug (gardiquimod) for starting a series of immunological events. The core of these nanostructures is composed of polydopamine nanoparticle, which serves as a photothermal agent, and the shell is made of mesoporous silica, which serves as a drug carrier. We employed a phase-change material as gatekeeper to achieve concurrent release of both TAA and adjuvant, thus efficiently activating the antigen presenting cells (APCs). Photothermal-immunotherapy enabled by these nanostructures resulted in regression of primary tumor and significantly improved inhibition of secondary tumor in a mouse melanoma model. These biocompatible, biodegradable, and NIRresponsive core-shell nanostructures simultaneously deliver payload and cause photothermal *