Cyanine is a meritorious fluorogenic core for the construction of fluorescent probes and its phototherapeutic potential has been enthusiastically explored as well. Alternatively, the covalent conjugation of cyanine with other potent therapeutic agents not only boosts its therapeutic efficacy but also broadens its therapeutic modality. Herein, we summarize miscellaneous cyanine–therapeutic agent conjugates in cancer theranostics from literature published between 2014 and 2020. The application scenarios of such theranostic cyanine conjugates covered common cancer therapeutic modalities, including chemotherapy, phototherapy and targeted therapy. Besides, cyanine conjugates that serve as nanocarriers for drug delivery are introduced as well. In an additional section, we analyze the potential of these conjugates for clinical translation. Overall, this review is aimed to stimulate research interest in exploring unattempted therapeutic agents and novel conjugation strategies and hopefully, accelerate clinical translation in this field.