Abstract Multi‐therapy strategies that coexist in a single system for cancer therapy has a great clinical application potential. In this paper, with the aim of establishing a suitable implantable platform for multimodal chemo‐photothermal cancer therapy, we have fabricated a coaxial composite hydrogel fiber that facilitated prolonged release of Doxorubicin from core. Fibers also served as NIR‐absorbing mediators, via incorporation of Cu2‐xSe nanoparticles in the shell, to facilitate chemo‐photothermal combinational effects. In vitro experiments exhibited excellent photo‐thermal properties of the fibers and exceptional cancer cell‐killing efficiency. Remarkably, in vivo antitumor experiments showed that Doxorubicin‐loaded coaxial hydrogel fibers containing Cu2‐xSe nanoparticles had outstanding antitumor efficacy, compared with chemotherapy or photothermal application alone. Overall, the coaxial composite hydrogel fibers provided a safe and efficacious implantable platform for multimodal chemo‐photothermal therapy that could potentially be used to control the progression of cancer locally at the tumor site.