Because of high drug payload and minimized burden of foreign materials in the course of metabolism and excretion, carrier-free nanomedicine based on self-assembly of small-molecule therapeutic agents has attracted considerable attention in cancer therapy. However, obstacles still remained, such as lack of targeting efficiency, poor physiological stability, and serious drug burst release. Herein, we developed a self-dual-targeting prodrug conjugate by coupling methotrexate (MTX) and doxorubicin (DOX) to a hyaluronic acid (HA) backbone which enveloped the small molecular drug coassemblies of DOX and indocyanine green for specific targeting and imaging-guided chemo-photothermal therapy (PTT). The constructed nanosystems exhibited a diameter of ∼200 nm, superior physiological stability, and improved photothermal effect. Taking advantage of functionality of MTX-HA-DOX conjugate, the nanosystems remarkably enhanced the accumulation in the tumor regions by enhanced penetration and retention effect and CD/folate receptor-mediated endocytosis. Upon the stimuli of acid, the nanosystems showed the rapid disassembly followed by the accelerated drug release. Consequently, the nanosystems demonstrated highly efficient apoptosis in cancer cells and remarkable tumor ablation by synergy between chemotherapy and PTT upon the irradiation of near-infrared laser. The multifunctional nanosystems based on small molecular theranostic assemblies could provide a promising potential in developing dual-targeting drug delivery and imaging-guided combinational therapy.