Exosomes, as natural nanovesicles, have become a spotlight in the field of cancer therapy due to their reduced immunogenicity and ability to overcome physiological barriers. However, the tumor targeting ability of exosomes needs to be improved before its actual application. Herein, a multiple targeted engineered exosomes nanoplatform was constructed through rare earth element Gd and Dy-doped and TAT peptide-modified carbon dots (CDs:Gd,Dy-TAT) encapsulated into RGD peptide engineered exosomes (Exo-RGD), which were used to enhance the effect of cancer imaging diagnosis and photothermal therapy. In vitro and in vivo experiments showed that the resulting CDs:Gd,Dy-TAT@Exo-RGD could effectively accumulate at cancer site with an increased concentration owing to the targeting peptides modification and exosomes encapsulation. The tumor therapy effects of mice treated with CDs:Gd,Dy-TAT@Exo-RGD were heightened compared with mice from the CDs:Gd,Dy control group. After intravenous injection of CDs:Gd,Dy-TAT@Exo-RGD into tumor-bearing mice, the temperature of tumors rose to above 50 °C under NIR irradiation and the localized hyperpyrexia induced by CDs could remarkably ablate tumors. The survival rate of the mice was 100% after 60 days. In addition, the CDs:Gd,Dy-TAT@Exo-RGD exhibited higher MRI/CT imaging contrast enhancement of tumor sites than that of CDs:Gd,Dy. Our study identified that engineered exosomes are a powerful tool for encapsulating multiple agents to enhance cancer theranostic efficiency and provide insight into precise personalized nanomedicine.