Traditional photothermal therapy (PTT) is still hindered by the high-temperature tolerance caused by heat shock proteins (HSPs) and weak immune responses. Herein, palladium hydride nanourchins (PdHs) are synthesized by a two-step hydrothermal method for photothermal immunotherapy. The prepared PdHs with dendritic urchin structures not only are able to load ovalbumin (OVA) and tumor cells fragments (TF) as antigen with ultra-high efficiency (35.7% and 43.1%), but also present significantly enhanced photothermal conversion efficiency (36%) and hydrogen release under 808 nm laser irradiation. The released hydrogen further induces oxidative stress and intracellular reactive oxygen species (ROS) generation, and hinders mitochondrial respiratory, finally, resulting the down-regulation of HSPs to make cells sensitive to PTT. Additionally, the obtained PdHs-TF nanourchins under 808 nm laser irradiation can inhibit tumor growth more effectively by combining PTT and TF antigens release to induce immunotherapy. This work provided a new pathway for the development of PTT and multifunctional applications of palladium nanoparticles in tumor therapy.