Theranostics nanoparticles (NPs) have recently received much attention in cancer imaging and treatment. This study aimed to develop a multifunctional nanosystem for the targeted delivery of photothermal and chemotherapy agents. Fe3O4 NPs were modified with polydopamine, bovine serum albumin, and loaded with DOX via a thermal-cleavable Azo linker (Fe3O4@PDA@BSA-DOX). The size of Fe3O4@PDA@BSA NPs was approximately 98 nm under the desired conditions. Because of the ability of Fe3O4 and PDA to convert light into heat, the temperature of Fe3O4@PDA@BSA NPs increased to approximately 47 °C within 10 min when exposed to an 808 nm NIR laser with a power density of 1.5 W/cm2. The heat generated by the NIR laser leads to the breaking of AZO linker and drug release. In vivo and in vitro results demonstrated that prepared NPs under laser irradiation successfully eradicated tumor cells without any significant toxicity effect. Moreover, the Fe3O4@PDA@BSA NPs exhibited the potential to function as a contrasting agent. These NPs could accumulate in tumors with the help of an external magnet, resulting in a significant enhancement in the quality of magnetic resonance imaging (MRI). The prepared novel multifunctional NPs seem to be an efficient system for imaging and combination therapy in melanoma.