Photothermal therapy (PTT) is a promising treatment for tumors due to its efficiency and non-invasiveness. However, during the PTT treatment, reactive oxygen species (ROS) are produced in response to hyperthermia and thus harm the neighboring normal cells. In this work, a multifunctional theranostic agent (Se@SiO2@Au-PEG/DOX NCs) was exploited to solve this problem by introducing selenium, which can efficiently prevent normal cells from oxidative damage by scavenging reactive oxygen species during photothermal therapy. In addition, the Se@SiO2@Au-PEG/DOX nanocomposites (NCs) not only exhibited excellent properties of combined chemo-thermal synergistic therapy, but also showed no appreciable toxicity towards normal tissues due to the protective effect for continuous release of selenium. Thus, the fabricated Se@SiO2@Au-PEG/DOX NCs provide an integrated solution to overcome the limitations of selenium and PTT, and demonstrate great prospects as a safe and highly reliable theranostic agent.