A novel photo-responsive protein–graphene–protein (PGP) capsule that doubles as a photothermal agent with core/shell structure is constructed by anchoring reduced graphene oxide nanosheets on one-component protein (lactoferrin) shell through a double emulsion method. PGP capsules can transport fully concealed hydrophilic anticancer cargo, doxorubicin (Dox), with a large payload (9.43 μmol g-1) to be later unloaded in a burst-like manner by photo-actuation triggered by near-infrared irradiation. Being biocompatible yet with a high cancer cell targeting efficiency, PGP capsules have successfully eradicated subcutaneous tumors in 10 d following a single 5 min NIR irradiation without distal damage. Besides, the photochemothermal therapy of PGP capsules eradicates tumor cells not only in the light-treating area but also widely light-omitted tumor cells, overcoming the tumor recurrence due to efficient cell killing efficacy. These results demonstrate that the PGP capsule is a potential new drug delivery platform for local-targeting, on-demand, photoresponsive, combined chemotherapy/hyperthermia for tumor treatment and other biomedical applications.