The development of nanotheranostic agent with imaging-guided highly therapeutic efficiency has attracted most attentions on tumor treatment. Herein, the novel MoSe2/Bi2Se3 nanosheets were designed to integrate CT/ photothermal (PT) imaging and photodynamic/photothermal/chemo-therapy (PTT/PDT/chemotherapy) into one nanoplatform. Firstly, the MoSe2 nanosheets (5–30 nm) were prepared via ultrasound-assisted exfoliated method, and then by a cation-exchange strategy the novel sandwich nanostructure Bi2Se3/MoSe2/Bi2Se3 (Bi-M-3) were obtained, revealing the narrower band gap (1.17 eV) and the stronger near-infrared (NIR) absorption. Both experimental and density functional theory (DFT) calculations reveal the Z-scheme mechanism of charge transfer in the heterostructure, which induces the enhanced ROS (⋅OH) generation due to the efficient separation of photogenerated electron-hole pairs. Meanwhile, the nanoheterostructure also makes sure the improved photothermal conversion efficiency (59.3%). Besides, we also found the photothermal effect can promote the transfer photo-generated electron that is in favor of ROS generation. Furthermore, because of the higher absorption coefficient of X-ray for Bi atom, the heterostructure also exhibits the higher CT imaging contrast than pure MoSe2 sample. After the loading of anticancer drug Doxorubicin (Dox), Bi-M-3@PEG-Dox displays the acid/photothermal sensitive drug release behavior. The synergistic effect of chemotherapy, photodynamic and photothermal therapy further induces the superior cancer cell apoptosis and enhanced antitumor effect.