Fabrication of a multifunctional near-infrared (NIR) theranostic nanoplatform has attracted increasing attention. Indocyanine green (ICG), a clinic-approved NIR fluorescence-imaging agent, is an excellent photothermal agent candidate. However, the stability and tumor targeting are still great obstacles for its wide application. In this work, C-phycocyanin (CPC) as a tumor-associated macrophages (TAMs) targeted vehicle was used to fabricate noncovalent ICG conjugate of CPC (ICG@CPC) via self-assembly in aqueous media. Compared to free ICG, ICG@CPC displays improved stabilities in aqueous solutions and under light irradiation and threefold increase in photothermal conversion efficiency. The in vitro results indicated that ICG@CPC could be selectively internalized into J774A.1 cells via SR-A-mediated endocytosis and lead to enhanced photocytotoxicity against J774A.1 cells. In vivo results showed that ICG@CPC had significantly improved drug accumulation in the tumor and photothermal therapeutic efficacy relative to ICG alone. This study for the first time utilizes CPC as a TAMs-targeted nanocarrier for ICG and may promote further rational design of ICG-based photothermal nanodrugs for precise and efficient cancer theranosis.