Photothermal immunotherapy is an innovative approach to cancer treatment. It combines immunomodulators and photothermal agents, both targeted to the tumor site. This therapy harnesses the heat generated by photothermal conversion to damage tumor cells while simultaneously releasing tumor-associated antigens. This process enhances the anti-tumor immune response of tumor-infiltrating lymphocytes (TILs) within the tumor microenvironment (TME). Photothermal immunotherapy is gaining prominence as a new method for cancer treatment. It is a current focal point in research due to its targeted efficacy, minimal systemic side effects, and reduced risk of treatment resistance. This study employed a thin-film dispersion method to fabricate liposomes (LIPO) as composite drug carriers. Indocyanine green (ICG) for clinical use was utilized as a photothermal agent (PTA), and folate (FA) was employed as a targeting agent for the nano-composite material. We encapsulated the immunoadjuvant CpG ODN within the FA@LIPO@ICG nano-system, resulting in the formation of targeted nanoparticles (NPs) for photothermal immunotherapy (FA@LIPO@ICG@CpG), and assessed the drug encapsulation rate. FA@LIPO@ICG@CpG NPs demonstrated excellent water solubility with an average size ranging from 100 to 200 nm. Furthermore, we investigated the photothermal properties of FA@LIPO@ICG@CpG NPs. Under 808 nm laser irradiation, the photothermal conversion efficiency of FA@LIPO@ICG@CpG NPs reached 39.05%. Subsequently, under 808 nm laser excitation, we conducted an analysis of lymphocyte subpopulations and their functional changes in U14 tumor-bearing mice by using flow cytometry. This treatment approach demonstrated remarkable anti-tumor efficacy. Consequently, FA@LIPO@ICG@CpG NPs hold substantial promise as a novel and promising strategy in cancer therapy.