Graphene oxide (GO) has attracted tremendous research interest due to its excellent electrical, thermal, and mechanical properties. Here, we apply the polyethylene glycol (PEG) and polyethylenimine (PEI) dual-polymer-functionalized GO (GO-PEG-PEI) as the carrier for efficient CpG delivery. GO-PEG-PEI can significantly promote the production of proinflammatory cytokines and enhance the immunostimulatory effect of CpG. In addition, the NIR optical absorbance of GO-PEG-PEI has been further applied to control the immunostimulatory activity of CpG ODNs, showing remarkably enhanced immunostimulation responses under NIR laser irradiation, owing to the photothermally induced local heating that accelerated intracellular trafficking of nanovectors. This is the first demonstration of using the photothermally enhanced intracellular transportation of nanocarriers for light-controllable CpG delivery. In vivo assay demonstrates that the GO-PEG-PEI-CpG complex provides synergistic photothermal and immunological effects under laser irradiation for cancer treatment, which shows the highest efficiency in tumor reduction, implying the excellent therapeutic efficacy of the GO-PEG-PEI-CpG complex in cancer therapy.