Recently, bio-nanocomposite nanogels/hydrogels composed of natural polymers and carbon-based nanomaterials are attracting increasing attention in the fields of nanomedicine and bioengineering due to their unique properties. In this study, we propose the creation of an innovative multifunctional bio-nanocomposite based on alginate graft copolymer with poly(2-hydroxypropyl methacrylamide) (SA-g-PHPM) and magnetite graphene oxide (mGO) loaded with etoposide (EPS) for drug delivery and photothermal therapy (PTT). The SA-g-PHPM/mGO bio-nanocomposite was synthesized using an emulsion method and exhibited favorable physicochemical properties. The structural functionalities and surface morphology of the SA-g-PHPM/mGO bio-nanocomposite were comprehensively characterized using spectroscopic techniques, including FT-IR, XRD, UV, DLS, TEM/FE-SEM, and AFM analyses. Under near-infrared (NIR) irradiation (808 nm, 1 Wcm−2, 10 min), the SA-g-PHPM/mGO bio-nanocomposite demonstrated the ability to effectively induce a temperature increase exceeding 29 °C. Additionally, exposure to NIR light and magnetic field led to an increased release of EPS whereas an increment in percentage of mGO caused a decreased EPS release. Notably, the synergistic effects of chemotherapy, light-triggered drug release, and PTT collectively contributed to a significant enhancement in lung cancer (H1299) cell death. In conclusion, our findings suggest that the developed SA-g-PHPM/mGO/EPS bio-nanocomposite serves as an efficient vehicle for multimodal therapy in lung cancer.