In this study, to visually acquire all-round structural and functional information of lung cancer while performing synergistic photothermal therapy (PTT) and tumor-targeting immunotherapy, a theranostic nanoplatform that introduced upconversion nanoparticles (UCNPs) and IR-1048 dye into the lipid-aptamer nanostructrure (UCILA) is constructed. Interestingly, the IR-1048 dye grafted into the lipid bilayer can serve as the theranostic agent for photoacoustic imaging, optical coherence tomography angiography, photothermal imaging, and PTT in the second near infrared (NIR-II) window. In addition, loaded in the inner part of UCILA, UCNPs possess the superior luminescence property and high X-ray attenuation coefficient, which can act as contrast agents for computed tomography (CT) and thermo-sensitive up-conversion luminescence (UCL) imaging, enabling real-time tracking of metabolic activity of tumor and temperature-feedback PTT. Furthermore, under the complementary guidance of penta-modal imaging and an accurate monitoring of in situ temperature change during PTT, UCILA exhibits its excellent capability for ablating the lung tumor with minimal side effects. Meanwhile, synergistic CAR-NK immunotherapy is carried out specifically to eradicate any possible residual tumor cells after PTT. Therefore, the UCILA nanoplatform is demonstrated as a multifunctional theranostic agent for both penta-modal imaging and temperature-feedback PTT while conducting targeting immunotherapy of lung cancer.