Sonodynamic therapy (SDT) is a noninvasive technique for local antitumor treatment; however, its clinical application is often limited by the low tumor accumulation of SDT agents, tumor’s hypoxic microenvironment, and cytoprotective effects of autophagy. To address these issues, herein we developed surface-engineered chlorella (Chl, a green algae) as a targeted drug carrier and sustainable oxygen supplier (via photosynthesis) for significantly improved SDT via hypoxia alleviation as well as autophagy inhibition of chloroquine phosphate. In this design, the macrophage membrane was coated onto Chl to form macrophage-mimetic Chl (MChl) to increase its biocompatibility and targeted tumor accumulation driven by the inflammatory-homing effects of macrophage membranes. In addition, the membrane coating on Chl allowed lipid insertion to yield β-cyclodextrin (β-CD) modified MChl (CD-MChl). Subsequently, supramolecular conjugates of MChl-NP were constructed via host–guest interactions between CD-MChl and adamantane (ADA)-modified liposome (ADA-NP), and the anchored liposome went with CD-MChl hand-in-hand to the tumor tissues for co-delivery of Chl, hematoporphyrin, and chloroquine phosphate (loaded in ADA-NP). The synergistic therapy achieved via local oxygenation, SDT, and autophagy inhibition maximally improved the therapeutic efficacy of MChl-CQ-HP-NP against melanoma. Tumor rechallenging results revealed that the changes of tumor microenvironment including hypoxia alleviation, SDT induced immunogenic cell death, and autophagy inhibition collectively induced a strong antitumor immune response and memory.