In recent times, researchers have aimed for new strategies to combat cancer by the implementation of nanotechnologies in biomedical applications. This work focuses on developing protein-based nanoparticles loaded with a newly synthesized NIR emitting and absorbing phthalocyanine dye, with photodynamic and photothermal properties. More precisely, we synthesized highly reproducible bovine serum albumin-based nanoparticles (75% particle yield) through a two-step protocol and successfully encapsulated the NIR active photosensitizer agent, achieving a good loading efficiency of 91%. Making use of molecular docking simulations, we confirm that the NIR photosensitizer is well protected within the nanoparticles, docked in site I of the albumin molecule. Encouraging results were obtained for our nanoparticles towards biomedical use, thanks to their negatively charged surface (−13.6 ± 0.5 mV) and hydrodynamic diameter (25.06 ± 0.62 nm), favorable for benefitting from the enhanced permeability and retention effect; moreover, the MTT viability assay upholds the good biocompatibility of our NIR active nanoparticles. Finally, upon irradiation with an NIR 785 nm laser, the dual phototherapeutic effect of our NIR fluorescent nanoparticles was highlighted by their excellent light-to-heat conversion performance (photothermal conversion efficiency 20%) and good photothermal and size stability, supporting their further implementation as fluorescent therapeutic agents in biomedical applications.