In this study, we present the synthesis and application of a new therapeutic platform based on photosensitizer-loaded, two-dimensional layered nanomaterials of WSe2 for combined photothermal and photodynamic cancer therapy. WSe2 nanosheets are synthesized by a simple and efficient chemical exfoliation using bovine serum albumin (BSA) as an effective exfoliating agent and strong stabilizing agent, endowing the WSe2-BSA nanosheets obtained with high stability in physiological solutions and good biocompatibility without further functionalization. The WSe2-BSA nanosheets can be employed not only as an efficient photothermal agent but also as a carrier to load methylene blue (MB) as a photosensitizing agent for photodynamic therapy. Moreover, the generation of singlet oxygen can be regulated by controlling the release of MB from the WSe2 nanosheets with NIR irradiation. The therapeutic efficacy of the MB-loaded WSe2-BSA (WSe2-BSA/MB) complexes was evaluated in vitro and in vivo. It was found that dual-mode photothermal and photodynamic therapy has a significant synergistic effect and dramatically improves the therapeutic efficacy toward cancer cells compared with single mode treatment. These findings indicate that WSe2 nanosheets could be a promising therapeutic agent and smart carrier for the synergistic combination of phototherapy towards biomedical applications.