Traditional lateral flow immunoassays (LFIA) suffer from insufficient sensitivity, difficulty for quantitation, and susceptibility to complex substrates, limiting their practical application. Herein, we developed a polyethylenimine (PEI)-mediated approach for assembling high-density Au nanoshells onto FeO nanoclusters (MagAu) as LFIA labels for integrated enrichment and photothermal/colorimetric dual-mode detection of SARS-CoV-2 nucleocapsid protein (N protein). PEI layer served not only as "binders" to FeO nanoclusters and Au nanoshells, but also "barriers" to ambient environment. Thus, MagAu not only combined magnetic and photothermal properties, but also showed good stability. With MagAu, N protein was first separated and enriched from complex samples, and then loaded to the strip for detection. By observation of the color stripes, qualitative detection was performed with naked eye, and by measuring the temperature change under laser irradiation, quantification was attained free of sophisticated instruments. The introduction of FeO nanoclusters facilitated target purification and enrichment before LFIA, which greatly improved the anti-interference ability and increased the detection sensitivity by 2 orders compared with those without enrichment. Moreover, the high loading density of Au nanoshells on one FeO nanocluster enhanced the photothermal signal of the nanoprobe significantly, which could further increase the detection sensitivity. The photothermal detection limit reached 43.64 pg/mL which was 1000 times lower than colloidal gold strips. Moreover, this method was successfully applied to real samples, showing great application potential in practice. We envision that this LFIA could serve not only for SARS-CoV-2 detection but also as a general test platform for other biotargets in clinical samples.