Mild photothermal therapy (PTT) has attracted attention for effectively avoiding the severe side effects associated with high‐temperature tumor ablation. However, its progress is hindered by the limited availability of high‐performance photothermal agents (PTAs) and the thermoresistance of cancer cells induced by heat shock reactions. Herein, this work proposes a new strategy to expand the library of high‐performance organic small‐molecule PTAs and utilize it to construct a multifunctional nano‐theranostic platform. By incorporating additional acceptors and appropriate π‐bridges, a diketopyrrolopyrrole‐based dye BDB is developed, which exhibits strong absorption and bright fluorescence emission in the near‐infrared (NIR) region. Subsequently, BDB is co‐coated with the heat shock protein (HSP) inhibitor tanespimycin (17‐AAG) using the functional amphiphilic polymers DSPE‐Hyd‐PEG2000‐cRGD to form an all‐in‐one nanoplatform BAG NPs. As a result, BAG NPs can precisely target tumor tissue, guide the treatment process in real‐time through NIR‐II fluorescence/photoacoustic/photothermal imaging, and release 17‐AAG on demand to enhance mild PTT. Additionally, the mild PTT has been demonstrated to induce immunogenic cell death (ICD) and activate a systemic anti‐tumor immune response, thereby suppressing both primary and distant tumors. Overall, this study presents a multifunctional nanoplatform designed for precise mild PTT combined with immunotherapy for effective tumor treatment.