Multimodal image-guided photothermal therapy (PTT) has great application potential in cancer treatment due to its advantages of low side effects and good efficacy. There is an urgent need for PTT nanocarriers with high loading efficiency and modified surfaces. Goat milk-derived extracellular vesicles (GMVs) an ideal PTT nanoplatforms due to their anti-inflammatory ability, tumor retention ability, high yield, and high biosafety. This study used GMVs to design a theranostic nanoprobe for positron emission tomography/computer tomography/near-infrared fluorescence (PET/CT/NIRF) imaging and image-guided PTT for colon cancer. The key genes, important biological processes, and important signaling pathways of indocyanine green (ICG)-mediated PTT and N3-GMV@ICG-mediated PTT were analyzed. The nanoprobe triggered anti-tumor immune and inflammation responses to enhance PTT. In addition, the nanoprobe could attenuate PTT-induced inflammation benefiting from the anti-inflammatory efficacy of GMVs. Therefore, our findings conceptually advanced the diagnosis and treatment of colon cancer. We believed that the nanoprobe had broad clinical transformation prospects, and GMVs might be ideal nanocarriers for constructing integrated diagnostic and PTT probes.