Hypoxia, defined as inadequate oxygen supply at the tissue level, is a common pathological condition in the tumor microenvironment of certain solid tumors, leading to the limited efficiency of oxygen-dependent photodynamic therapy (PDT). To overcome this problem, tumor-targeting oxygen self-carrying nanoparticles are developed for photothermal therapy (PTT) and enhanced PDT to completely eradicate solid tumors. Hydrogen peroxide (H2O2) is a strong oxidant that can release oxygen in the presence of a catalyst or when being heated. The core-shell poly(lactic-co-glycolic acid) nanoparticles (PLGA NPs) are obtained by a double emulsion method: the hydrophilic H2O2/poly(vinylpyrrolidone) complex as an oxygen source and hydrophobic IR780 as a PTT/PDT agent are encapsulated into the core and shell of the NPs respectively. The tumor binding molecule, folic acid, is conjugated onto the surface of obtained PLGA NPs to enabling efficient cell uptake and tumor targeting. Once the PLGA-FA/IR780-H2O2 NPs are ingested by HepG2 cells, they can induce the photothermal effect and reactive oxygen species (ROS) are released to kill cancer cells under an 808 nm laser irradiation. The encapsulated H2O2 can supply additional oxygen and in turn significantly enhance the PDT effect. This innovative nanoplatform has exhibited excellent antitumor efficiency, verified vividly by the in vitro and in vivo assays, and may serve as a versatile platform for future cancer therapy.