Palladium nanosheets (Pd NSs) have recently attracted increasing research interest in the biomedical field due to their excellent near-infrared absorption, photothermal conversion capability and biocompatibility. However, the application of Pd NSs in immunotherapy has not been reported. Here, Pd NSs were used as the carriers of immunoadjuvant CpG ODNs for not only efficient delivery of CpG but also for enhancing the immunotherapeutic effects of CpG by the Pd NS-based photothermal therapy (PTT). Pd NSs had no influence on the immune system, and the prepared Pd-CpG nanocomposites, especially Pd(5)-CpG(PS), could significantly increase the uptake of CpG by immune cells and enhance the immunostimulatory activity of CpG in vitro and in vivo. With the combination of Pd(5)-CpG(PS) mediated PTT and immunotherapy, highly efficient tumor inhibition was achieved and the survival rate of the tumor-bearing mice was greatly increased depending on Pd(5)-CpG(PS) with safe near-infrared (NIR) irradiation (808 nm laser, 0.15 W cm-2). Importantly, the combination therapy induced tumor cell death and released tumor-associated antigens, which could be effectively taken up and presented by antigen presenting cells with the assistance of CpG, leading to increased TNF-α and IL-6 production and enhanced cytotoxic T lymphocyte (CTL) activity. This work provides a new paradigm of utilizing photothermal nanomaterials for safe and highly efficient cancer photothermal combined immunotherapy.