Integration of various therapeutic modes and novel hypoxic therapy are two emerging aspects in the current anti-cancer field. Based on this, we designed a multifunctional therapeutic system combining photothermal therapy (PTT), the newly defined chemodynamic therapy (CDT) and AIPH-based hypoxic therapy ingeniously, which can take effect well in hypoxic tumor environments. The CuFeSe₂-based heterojunction was controllably constructed by the coating of a MIL-100(Fe) shell layer by layer, and the large mesoporous cavities were subsequently filled with a polymerization initiator (AIPH) and phase change material (tetradecanol) to achieve higher drug loading and controlled heat release of radicals. When irradiated by a single 808 nm laser, the photothermal agent of CuFeSe₂ plays a significant role of the initiating switch in the whole nanoplatform, whose hyperthermia not only realizes fundamental PTT but also promotes greatly the Fenton reaction of the MIL-100(Fe) shell for oxidative ˙OH production and the generation of toxic AIPH radicals while melting tetradecanol. Due to the sensitive heat-responsive therapies independent of oxygen concentration, the nanoplatform showed a superior therapeutic effect for hypoxic tumor environments. Besides, on account of the effective attenuation for X-rays and the presence of the magnetic element Fe of CuFeSe₂, the nanoplatform was also certified to be a superior diagnosis agent for computed tomography (CT) and magnetic resonance imaging (MRI). As expected, cell experiments in vitro and mice experiments in vivo further verified the excellent biocompatibility and antitumor effect, suggesting that this nanoplatform of CuFeSe₂@MIL-100(Fe)-AIPH is promising for simultaneous diagnosis and treatment in hypoxic cancer therapy.