Triple-negative breast cancer (TNBC) remains a tough clinical challenge due to its chemoresistance, deep invasiveness, and thermal tolerance during photothermal therapy (PTT). Pristine Prussian Blue (PB) nanoparticles are limited by NIR-I absorption, weak nanozyme activity, and lack of imaging capability. Herein, we developed liposome-coated holmium-doped PB (HoPB@Lip) with an optimal Ho/Fe ratio of 0.4 as a multifunctional theranostic platform. Ho doping red-shifts the absorption to the NIR-II window with a high photothermal conversion efficiency of 68.3% and enhances peroxidase-like activity for chemodynamic therapy (CDT). It also boasts a T2 relaxivity of 218.3 mM^-¹s^-¹, enabling high-contrast MR imaging. In vitro and in vivo experiments on 4T1 TNBC models demonstrated that synergistic PTT-CDT inhibited tumor growth by ~95%. Reactive oxygen species generated by HoPB@Lip suppressed HSP70 expression via oxidative inactivation of heat shock factor 1, effectively overcoming tumor thermal tolerance. Notably, HoPB@Lip exhibited excellent systemic biocompatibility without organ toxicity. This work integrates NIR-II PTT therapy, CDT, and MR imaging into one platform, providing a safe and precise theranostic strategy for TNBC with great clinical translation potential.