Nanodelivery systems combining photothermal therapy (PTT) and chemotherapy (CT), have been widely used to improve the efficacy and biosafety of chemotherapeutic agents in cancer. In this work, we constructed a self-assembled nanodelivery system, formed by the assembling of photosensitizer (IR820), rapamycin (RAPA), and curcumin (CUR) into IR820-RAPA/CUR NPs, to realize photothermal therapy and chemotherapy for breast cancer. The IR820-RAPA/CUR NPs displayed a regular sphere, with a narrow particle size distribution, a high drug loading capacity, and good stability and pH response. Compared with free RAPA or free CUR, the nanoparticles showed a superior inhibitory effect on 4T1 cells in vitro. The IR820-RAPA/CUR NP treatment displayed an enhanced inhibitory effect on tumor growth in 4T1 tumor-bearing mice, compared to free drugs in vivo. In addition, PTT could provide mild hyperthermia (46.0 °C) for 4T1 tumor-bearing mice, and basically achieve tumor ablation, which is beneficial to improving the efficacy of chemotherapeutic drugs and avoiding damage to the surrounding normal tissue. The self-assembled nanodelivery system provides a promising strategy for coordinating photothermal therapy and chemotherapy to treat breast cancer.