The promise of anti‐tumor immunotherapy is limited partially by low antigen exposure and the hypoxic tumor microenvironment. To address these two limitations simultaneously, herein, a multifunctional AuNR@BSA/MnO₂ to enable photothermal therapy‐induced immunogenic cell death (ICD) and hypoxia relief‐benefited M1 polarization of macrophages for enhanced cancer immunotherapy, is designed. The ICD and M1 polarization are demonstrated both in vitro and in vivo by detecting the corresponding markers. Then, enhanced immunotherapeutic efficacy is achieved in a 4T1 tumor‐bearing mice model. Additionally, when combined with a checkpoint blockade therapy (PD‐1 inhibitor), the AuNR@BSA/MnO₂ shows distant effects including anti‐distant tumor, anti‐metastasis, and even improved survival. Last, the AuNR@BSA/MnO₂ has multi‐imaging functions, such as photoacoustic imaging and magnetic resonance imaging. This study provides a new strategy to design multifunctional nanomedicines for improving anti‐tumor immunotherapy and imaging guided therapy.