Application of cancer vaccines is limited due to their systemic immunotoxicity and inability to satisfy all the steps, including loading of tumor antigens, draining of antigens to lymph nodes (LNs), internalization of antigens by dendritic cells (DCs), DC maturation, and cross-presentation of antigens for T cell activation. Here, we present a combinatorial therapy, based on a α-cyclodextrin (CD)–based gel system, DOX/ICG/CpG-P-ss-M/CD, fabricated by encapsulating doxorubicin (DOX) and the photothermal agent indocyanine green (ICG). Upon irradiation, the gel system exhibited heat-responsive release of DOX and vaccine-like nanoparticles, CpG-P-ss-M, along with chemotherapy- and phototherapy-generated abundant tumor-specific antigen storage in situ. The released CpG-P-ss-M acted as a carrier adsorbed and delivered antigens to LNs, promoting the uptake of antigens by DCs and DC maturation. Notably, combined with PD-L1 blocking, the therapy effectively inhibited primary tumor growth and induced tumor-specific immune response against tumor recurrence and metastasis.