Nanocarriers for chemo‐photothermal therapy suffer from insufficient retention at the tumor site and poor penetration into tumor parenchyma. A smart drug‐dye‐based micelle is designed by making the best of the structural features of small‐molecule drugs. P‐DOX is synthesized by conjugating doxorubicin (DOX) with poly(4‐formylphenyl methacrylate‐co‐2‐(diethylamino) ethyl methacrylate)‐b‐polyoligoethyleneglycol methacrylate (P(FPMA‐co‐DEA)‐b‐POEGMA) via imine linkage. Through the π–π stacking interaction, IR780, a near‐infrared fluorescence dye as well as a photothermal agent, is integrated into the micelles (IR780‐PDMs) with the P‐DOX. The IR780‐PDMs show remarkably long blood circulation (t1/2β = 22.6 h). As a result, a progressive tumor accumulation and retention are presented, which is significant to the sequential drug release. Moreover, when entering into a moderate acidic tumor microenvironment, IR780‐PDMs can dissociate into small‐size conjugates and IR780, which obviously increases the penetration depth of drugs, and then improves the lethality to deep‐seated tumor cells. Owing to the high delivery efficiency and superior chemo‐photothermal therapeutic efficacy of IR780‐PDMs, 97.6% tumor growth in the A549 tumor‐bearing mice is suppressed with a low dose of intravenous injection (DOX, 1.5 mg kg−1; IR780, 0.8 mg kg−1). This work presents a brand‐new strategy for long‐acting intensive cancer therapy.