Although the current cancer photothermal therapy (PTT) can produce a powerful therapeutic effect, tumor cells have been proved a protective mechanism through autophagy. In this study, a novel hybrid theranostic nanoparticle (CaCO3@CQ@pDB NPs, CCD NPs) is designed and prepared by integrating a second near‐infrared (NIR‐II) absorbed conjugated polymer DTP‐BBT (pDB), CaCO3, and autophagy inhibitor (chloroquine, CQ) into one nanosystem. The conjugated polymer pDB with asymmetric donor–acceptor structure shows strong NIR‐II absorbing capacity, of which the optical properties and photothermal generation mechanism of pDB are systematically analyzed via molecular theoretical calculation. Under NIR‐II laser irradiation, pDB‐mediated PTT can produce powerful killing ability to tumor cells. At the same time, heat stimulates a large amount of Ca2+ inflow, causing calcium overload induced mitochondrial damage and enhancing the apoptosis of tumor cells. Besides, the released CQ blocks the self‐protection mechanism of tumor cells and greatly enhances the attack of PTT and calcium overload therapy. Both in vitro and in vivo experiments confirm that CCD NPs possess excellent NIR‐II theranostic capacity, which provides a new nanoplatform for anti‐tumor therapy and builds great potential for future clinical research.