Cell‐derived microparticles, which are recognized as nanosized phospholipid bilayer membrane vesicles, have exhibited great potential to serve as drug delivery systems in cancer therapy. However, for the purpose of comprehensive therapy, microparticles decorated with multiple therapeutic components are needed, but effective engineering strategies are limited and still remain enormous challenges. Herein, Bi₂Se₃ nanodots and doxorubicin hydrochloride (DOX) co‐embedded tumor cell‐derived microparticles (Bi₂Se₃/DOX@MPs) are successfully constructed through ultraviolet light irradiation‐induced budding of parent cells which are preloaded with Bi₂Se₃ nanodots and DOX via electroporation. The multifunctional microparticles are obtained with high controllability and drug‐loading capacity without unfavorable membrane surface destruction, maintaining their excellent intrinsic biological behaviors. Through membrane fusion cellular internalization, Bi₂Se₃/DOX@MPs show enhanced cellular internalization and deepened tumor penetration, resulting in extreme cell damage in vitro without considering endosomal escape. Because of their distinguished photothermal performance and tumor homing target capability, Bi₂Se₃/DOX@MPs exhibit admirable dual‐modal imaging capacity and outstanding tumor suppression effect. Under 808 nm laser irradiation, intravenous injection of Bi₂Se₃/DOX@MPs into H22 tumor‐bearing mice results in remarkably synergistic antitumor efficacy by combining photothermal therapy with low‐dose chemotherapy in vivo. Furthermore, the negligible hemolytic activity, considerable metabolizability, and low systemic toxicity of Bi₂Se₃/DOX@MPs imply their distinguished biocompatibility and great potential for tumor theranostics.