Efficient synergistic therapeutic strategies for tumors with high specificity and sensitivity remain a major challenge. An injectable near-infrared (NIR)-responsive supramolecular hydrogel was prepared via host-guest interactions between conjugated poly(N-phenylglycine)-poly(ethylene glycol) (PNPG-PEG) and α-cyclodextrin. A reactive oxygen species (ROS)-triggered chain-breakage prodrug was composed of a thioketal (TK) linkage of methoxy poly(ethylene glycol) (mPEG) and doxorubicin (DOX). The resulting amphiphilic conjugate mPEG-TK-DOX can self-assemble into prodrug micelles. PEG/poly(etherimide) (PEI)@Fe3O4 nanoparticles (PEG/PEI@Fe3O4 NPs) were prepared using a thermal decomposition method. The prodrug micelles and PEG/PEI@Fe3O4 NPs can be well dispersed into the hydrogel system. In a tumor micro-acid environment, PEG/PEI@Fe3O4 NPs catalyze the decomposition of H2O2 to highly toxic ˙OH via a Fenton reaction to induce the breakage of ROS-responsive TK bonds for the dissociation of micelles and the continuous release of DOX. PEG/PEI@Fe3O4 NPs can also generate an NIR-thermal effect and enhance the photothermal therapy. Notably, by combining with controllable photothermal therapy, the in situ composite hydrogel system shows enhanced synergistic chemo-photothermal therapy for tumors and almost complete in vitro and in vivo tumor suppression, providing a promising synergistic tumor treatment strategy.