Cross‐relaxation among sensitizers is commonly regarded as deleterious in fluorescent materials, although favorable in photothermal agents. Herein, we coated Prussian blue (PB) on NaNdF4 nanoparticles to fabricate core–shell nanocomplexes with new cross relaxation pathways between the ladder‐like energy levels of Nd3+ ions and continuous energy band of PB. The photothermal conversion efficiency was improved exceptionally and the mechanism of the enhanced photothermal effect was investigated. In vivo photoacoustic imaging and photothermal therapy demonstrated the potential of the enhanced photothermal agents. Moreover, the concept of generating new cross‐relaxation pathways between different materials is proposed to contribute to the design of all kinds of enhanced photothermal agents. A bolt from the blue: Prussian blue (PB) has been coated on NaNdF4 nanoparticles to fabricate core–shell nanocomplexes with new cross‐relaxation pathways between the ladder‐like energy levels of Nd3+ ions and the continuous energy band of PB. This approach results in a dramatic increase in the photothermal conversion efficiency. In vivo photoacoustic imaging and photothermal therapy demonstrated the potential of the nanocomplexes.