The complexity and compensatory evolution of tumors weaken the effectiveness of single antitumor therapies. Therefore, multimodal combination therapies hold great promise in defeating tumors. Herein, we constructed a multi-level regulatory co-delivery system based on chemotherapy, phototherapy, and immunotherapy. Briefly, curcumin (Cur) was prepared as nanoparticles and coated with polydopamine (PDA) to form PCur-NPs, which along with an immune checkpoint inhibitor (indoximod, IND) were then loaded into a thermosensitive Pluronic F127 (F127) hydrogel to form a multifunctional nanocomposite hydrogel (PCur/IND@Gel). The in situ-formed hydrogel exhibited excellent photothermal conversion efficiency and sustained drug release behavior both in vitro and in vivo. In addition, PCur-NPs showed enhanced cellular uptake and cytotoxicity under NIR laser irradiation and induced potent immunogenic cell death (ICD). After intratumoral injection of PCur/IND@Gel, significant apoptosis in 4T1 tumors was induced, dendritic cells in lymph nodes were highly activated, potent CD8 and CD4 antitumor immune responses were elicited and regulative T cells in tumors were significantly reduced, which notably inhibited the tumor growth and prolonged the survive time of 4T1 tumor-bearing mice. Therefore, this injectable nanocomposite hydrogel is a promising drug co-delivery platform for chemo-photothermal-immunotherapy of breast tumors.