This study presents a nanohybrid that simultaneously improves both photothermal (PT) and photodynamic (PD) effects for cancer therapy. The conjugated polymer nanoparticle (CPN) comprises of p‐type conjugated polymer as a photosensitizer, charge donor, and PT agent, n‐type conjugated polymer as a charge acceptor and PD agent, and Au nanoparticles (NPs) as a PT agent. This nanohybrid is assembled through a film dispersion process using a hydrophobically modified phospholipid, producing a high yield of uniform hybrid NPs in a short timeframe, and displays exceptional photothermal and photodynamic effects, when activated at a single near‐infrared wavelength. Photophysical analysis indicates that the inclusion of Au NPs enhances nonradiative exciton relaxation, while the incorporation of a n‐type conjugated polymer boosts photoinduced charge transfer and potentially contributes to the charge‐recombination mediated triplet‐state formation for an enhanced generation of reactive oxygen species. During phototherapy, the nanohybrid demonstrates the most effective suppression of primary tumor growth and significantly boosts anti‐tumor immune responses owing to its simultaneous photothermal and photodynamic effects. Furthermore, when combined with immune checkpoint inhibitors, nanohybrid treatment minimizes tumor sizes while maximizing survival rates in mice. Thus, the nanohybrid represents a promising nanoplatform for combination phototherapy in cancer treatment.