Photoimmunotherapy, which combines local photothermal therapy (PTT) with immunological stimulation, is a promising modality for cancer treatment. Herein, we have reported a photothermal-immunotherapy of melanoma using pegylated black phosphorus nanosheets (BP-PEG NSs) and imiquimod (R837) as the photothermal conversion agent and the immunoadjuvant, respectively. The photothermal stability of BP NSs was remarkably enhanced after the modification of poly(ethylene glycol) (PEG) by electrostatic interactions. The in situ generation of tumor-associated antigens by PTT elicited a strong immune response in the presence of R837, achieving a photoimmunotherapy of B16 melanoma. This photoimmunotherapy stimulated a stronger immune response both in vitro and in vivo than monotherapy, inducing a much greater release of cytokines such as IL-6, IL-12, and TNF-α. In vivo antitumor studies in B16 tumor-bearing mice demonstrated that photoimmunotherapy showed the best tumor inhibition effects. Our study suggested that BP-PEG NS-based PTT primed with an immunoadjuvant can be used for synergistic photoimmunotherapy of melanomas.