Melanoma, the most aggressive skin cancer with a high metastatic index, causes almost 90% of skin cancer mortality. Currently available conservative therapies, including chemotherapy, radiotherapy and immunotherapy, have shown little effect against metastatic melanoma, leading to a very poor prognosis. The present study was aimed at developing a more efficient therapeutic strategy by combining MWCNT mediated photothermal ablation with both chemotherapy and immunotherapy. For this purpose, DOX and CpG were loaded onto MWCNTs via physical adhesion. The diameters of the resultant MWCNT–CpG and MWCNT–DOX were 197.3 ± 5.45 nm and 263.8 ± 7.36 nm, with zeta potentials of −48 ± 4.93 mV and 58 ± 2.42 mV, respectively. Loading with either CpG or DOX significantly enhanced the water dispersibility of the MWCNTs and showed no obvious impact on the physical structure of the MWCNTs. MWCNT loading facilitated the uptake of CpG by bone marrow derived dendritic cells (BMDCs), as well as the maturation of BMDCs. Intratumoral injection of MWCNT–DOX and MWCNT–CpG with subsequent NIR irradiation resulted in a significant delay in tumor progression in melanoma bearing mice, along with an increased number of CD4⁺ and CD8⁺ T cells in the spleen, draining lymph nodes and tumor tissues. The regimen promoted TAM shifting from M2 to M1 while decreasing the number of Treg cells in the tumor microenvironment, which probably contributed to the enhanced anti-tumor efficacy of the regimen. Hopefully, the invented strategy might find potential applications for the therapy of melanoma in the future.