Multifunctional nanoparticles represent a class of materials with diverse therapy and imaging properties that can be exploited for the treatment of cancers that have significantly progressed or advanced, which are associated with a poor patient prognosis. Here, we describe the use of biodegradable Prussian blue nanoparticles (PBNPs) in combination with anti-CTLA-4 checkpoint blockade immunotherapy for the treatment of advanced cancers. Our nanoparticle synthesis scheme yields PBNPs that possess pH-dependent intratumoral stability and photothermal therapy (PTT) properties, and degrade under mildly alkaline conditions mimicking the blood and lymph. Studies using PBNPs for PTT in a mouse model of neuroblastoma, a hard-to-treat cancer, demonstrate that PTT causes rapid reduction of tumor burden and growth rates, but results in incomplete responses to therapy and tumor relapse. Studies to elucidate the underlying immunological responses demonstrate that PTT causes increased tumor infiltration of lymphocytes and T cells and a systemic activation of T cells against re-exposed tumor cells in a subset of treated mice. PBNP-based PTT in combination with anti-CTLA-4 immunotherapy results in complete tumor regression and long-term survival in 55.5% of neuroblastoma tumor-bearing mice compared to only 12.5% survival in mice treated with anti-CTLA-4 alone and 0% survival both in mice treated with PTT alone, or remaining untreated. Further, all of the combination therapy-treated mice exhibit protection against tumor rechallenge indicating the development of antitumor immunity as a consequence of therapy. Our studies indicate the immense potential of our combination photothermal immunotherapy in improving the prognosis and outlook for patients with advanced cancers.