Nanomedicine has significantly advanced precise tumor therapy, providing essential technical blessing for active drug accumulation, targeted consignment, and mitigation of noxious side effects. To enhance anti‐tumor efficacy, the integration of multiple therapeutic modalities has garnered significant attention. Here, we designed an innovative CoFeSe2@DMSA@FA nanocatalyst with Se vacancies (abbreviated as CFSDF), which exhibits synergistic chemodynamic therapy (CDT) and photothermal therapy (PTT), leading to amplified tumor oxidative stress and enhanced photothermal effects. The multifunctional CFSDF nanocatalyst exhibits the remarkable ability to catalyze the Fenton reaction within the acidic tumor microenvironment, efficiently converting hydrogen peroxide (H2O2) into highly harmful hydroxyl radicals (⋅OH). Moreover, the nanocatalyst effectively diminishes GSH levels and ameliorates intracellular oxidative stress. The incorporation of FA modification enables CFSDF to evade immune detection and selectively target tumor tissues. Numerous in vitro and in vivo investigations have consistently demonstrated that CFSDF optimizes its individual advantages and significantly enhances therapeutic efficiency through synergistic effects of multiple therapeutic modalities, offering a valuable and effective approach to cancer treatment.