Nanoparticles as novel theranostic agents for cancer treatment have been extensively investigated in recent years. However, the poor tumor selectivity and retention of the theranostic agents result in unsatisfactory performance of both the diagnostic and therapeutic functions. Herein, we developed an alpha-cyclodextrin (α-CD)-based gold/DNA nanomachine for tumor-selective diagnosis and therapy. The α-CDs were capped at the ends of DNA, and their release was triggered by the low pH of the tumor microenvironment, which further resulted in DNA self-assembly through complementary base pairing. The large-sized gold aggregates failed to escape from the tumor tissue, thereby realizing the goal of tumor-specific targeting and enhanced retention. Thus, the photoacoustic signal and photothermal effect are also activated, thereby achieving tumor-targeted photoacoustic imaging and photothermal therapy. In vivo results indicated that the designed gold nanomachines can serve as efficient theranostic agents for diagnosis and therapy. Moreover, we found that the α-CD caps have the ability to protect the nanoparticles from clearance and enzyme digestion, which helps the nanoparticles reach the tumor more efficiently.