Tumor vaccines are a promising form of cancer immunotherapy, but difficulties such as neo-antigen identification, activation of immune cells, and tumor infiltration prevent their clinical breakthrough. Interestingly, nanotechnology-based photothermal therapy (PTT) has great potential to overcome these barriers. Previous studies have shown that serum exosomes (hEX) from hyperthermia-treated tumor-bearing mice displayed an array of patient-specific tumor-associated antigens (TAAs), and strong immunoregulatory abilities in promoting dendritic cell (DC) differentiation and maturation. Here, we developed a tumor vaccine (hEX@BP) by encapsulating black phosphorus quantum dots (BPQDs) with exosomes (hEX) against a murine subcutaneous lung cancer model. In comparison with BPQDs alone (BP), hEX@BP demonstrated better long-term PTT performance, greater elevation of tumor temperature and tumor targeting efficacy in vivo. Vaccination with hEX@BP in combination with PTT further demonstrated an outstanding therapeutic efficacy against established lung cancer, and promoted the infiltration of T lymphocytes into the tumor tissue. Our findings demonstrated that hEX@BP might be an innovative cancer photo-nanovaccine that offers effective immuno-PTT against cancers.