Rapid advances in nanotechnology have made it possible to combine photothermal therapy (PTT) with immunotherapy, enabling to activate an in situ vaccine effect. However, this effect is severely impeded by low antigen presentation level and highly suppressive tumor immune microenvironment (immune “cold” tumors). To overcome the obstacles, multifunctional carrier‐free nanoparticles (FCDP‐NPs) assembled from Fe2+, toll‐like receptor 9 agonist (CpG), cationic lipid (DOTAP) and photothermal agent polydopamine are developed. After intratumoral injection, FCDP‐NPs carrying positive charge are exposed under laser irradiation, which can capture tumor‐associated antigens (TAAs) generated upon post‐PTT to form the nanovaccines (FCD‐NPs@TAAs). The nanovaccines further promote cross‐presentation of TAAs, stimulate adaptive immune responses, and shape immune “hot” tumors. As a result, in situ nanovaccines highly improve survival rates and elicit a durable immune memory that remarkedly prevents tumor metastasis, illustrating a useful platform for PTT synergized with immunotherapy.