Here, a FePSe3‐based theranostic agent, FePSe3@APP@CCM, loaded with anti‐PD‐1 peptide (APP) as the inner component and CT26 cancer cell membrane (CCM) as the outer shell is reported, which acts as a multifunctional agent for MR and PA imaging and photothermal and immunotherapy against cancer. Here, APP is linked to cancer.