Photothermal therapy (PTT) is a promising non-invasive treatment that has shown great potential in eliminating tumors. It not only induces apoptosis of cancer cells but also triggers immunogenic cell death (ICD) which could activate the immune system against cancer. However, the immunosuppressive tumor microenvironment (TIME) poses a challenge to triggering strong immune responses with a single treatment, thus limiting the therapeutic effect of cancer immunotherapy. In this study, dual-targeted nano delivery system (GOx@FeNPs) combined with αPD-L1 immune checkpoint blocker could inhibit colorectal cancer (CRC) progression by mediating PTT, ferroptosis and anti-tumor immune response. Briefly, specific tumor delivery was achieved by the cyclic arginine glycyl aspartate (cRGD) peptide and anisamide (AA)  in GOx@FeNPs which not only had a good photothermal effect to realize PTT and induce ICD, but also could deplete glutathione (GSH) and catalyze the production of reactive oxygen species (ROS) from endogenous HO. All these accelerated the Fenton reaction and augmented the process of PTT-induced ICD. Thus, a large amount of tumor specific antigen was released to stimulate the maturation of dendritic cells (DCs) in lymph nodes and enhance the infiltration of CD8 T cells in tumor. At the same time, the combination with αPD-L1 has favorable synergistic effectiveness against CRC with tumor inhibition rate over 90%. Furthermore, GOx@FeNPs had good magnetic resonance imaging (MRI) capability under T2-weighting owing to the presence of Fe, which is favorable for integrated diagnosis and treatment systems of CRC. By constructing a dual-targeted GOx@FeNPs nanoplatform, PTT synergistically combined with ferroptosis was realized to improve the immunotherapeutic effect, providing a new approach for CRC immunotherapy.