Combination therapies for cancer have attracted substantial research interest as an emerging treatment strategy that can reduce the chance of cancer resistance to chemotherapy and deal effectively with cancer cell heterogeneity. In this study, we designed novel nanocarriers that combine immunotherapy, which attacks tumors by stimulating the immune system, with photodynamic therapy (PDT), a non-invasive phototherapy that can selectively destroy only cancer cells. Multi-shell structured upconversion nanoparticles (MSUCNs) with good photoluminescence (PL) strength were synthesized for a combination therapy of near-infrared (NIR) light-induced PDT and immunotherapy using a specific immune checkpoint inhibitor. By optimizing the doping content of ytterbium ions (Yb) and forming a multi-shell structure, MSUCNs able to emit light at multiple wavelengths with the PL efficiency improved by 260-380 times compared to core particles were synthesized. Then, the surfaces of the MSUCNs were modified with folic acid (FA) as a tumor-targeting ligand, Ce6 as a photosensitizer (PS), and 1-methyl-tryptophan (1MT) as an indoleamine 2,3-dioxygenase (IDO) inhibitor. The FA-, Ce6-, and 1MT-conjugated MSUCNs (F-MSUCN3-Ce6/1MT) exhibited targeted cellular uptake by active targeting against HeLa cells, which are FA receptor-positive cancer cells. Upon irradiation with NIR at 808 nm, the F-MSUCN3-Ce6/1MT nanocarriers produced reactive oxygen species, which caused apoptosis of the cancer cells, and activated CD8 T cells, which enhanced the immune response by binding with immune checkpoint inhibitory proteins and blocking the IDO pathway. Therefore, these F-MSUCN3-Ce6/1MT nanocarriers could be potential candidate materials for synergistic anticancer therapy that combines IDO inhibitor-based immunotherapy with enhanced NIR-triggered PDT.