We report that conjugated polymer nanoparticles (CPNs) coated with polyethylene glycols (PEGs) exhibit photothermal and photodynamic capabilities according to molecular ordering in their assembly structures. CPN-PEGs were made using three different methods: a dispersion process of phase-separated film assemblies of a conjugated polymer and a phospholipid-conjugated PEG (CPN-I), a dispersion process of a conjugated polymer and a phospholipid followed by surface conjugation with PEGs (CPN-II), and a miniemulsification of the conjugated polymer and the phospholipid-conjugated PEG. Our findings revealed that the ordered molecular assembly structures in CPN-I and CPN-II increased intermolecular interactions and decreased the optical band gap, promoting nonradiative exciton relaxation via the energy-gap law’s internal conversion mechanism and rationalizing CPN-I’s shorter singlet exciton lifetime (13 ps). Meanwhile, CPN-III with a disordered structure generated more singlet oxygen than CPN-I and CPN-II, indicating increased triplet exciton generation upon the polaron recombination. Our findings present that the photothermal and photodynamic properties of CPNs are obviously dependent on the assembly structure order and that CPNs with an ordered assembly of conjugated backbones have a stronger photothermal effect, whereas those with a disordered structure have a better photodynamic effect.