Due to their clinical use approved by US Food and Drug Administration (FDA), Prussian blue nanoparticles (PB NPs) have been explored as a new generation of photothermal agents for cancer photothermal therapy (PTT). However, PTT treatment alone has limited therapeutic efficiency since it can not eliminate tumor cells completely. Herein we developed a facile method for the synthesis of PB NPs through a combined ligand exchange and thin film hydration process, modified the PB NPs by lipid-PEG conjugation, producing PEGylated PB NPs, and encapsulated doxorubicin (DOX) in the PEGylated PB NPs via hydrophobic interactions, creating PEGylated PB-DOX NPs. Obtained from the results of fluorescence intensity measurements, the loading efficiency and content of DOX in PEGylated PB-DOX NPs was as high as 98.0% and 9.2%, respectively. The DOX release from the PEGylated PB-DOX NPs was significantly enhanced at acidic pH, likely due to the protonation of the amine group, and a three-parameter simulation model was used to gain insight into the pH effect on DOX release. Moreover, a cell cytotoxicity study in vitro shows that PEGylated PB-DOX NPs exhibits a remarkable photothermalchemo synergistic effect to HeLa cells, attributed to both photothermal ablation mediated by the PEGylated PB NPs and enhanced cellular uptake of DOX. Therefore, our study may open a new path for the production of PB NPs as drug delivery vehicles for combined photothermal-chemo cancer treatment.