Carbon monoxide (CO) causes the dysfunction of mitochondria to induce the apoptosis of cancer cells giving a promising choice as an emerging treatment. The currently reported CO-based complexes still suffer from many limitations. Synthesis of CO-release carriers in the manner of on-demand control is highly anticipated. In this study, we present a near-infrared (NIR) light-responsive CO-delivery nanocarrier, a PEGylated iron carbonyl derivatized Prussian blue (PB) nanoparticle (NP). Taking the structural characteristic containing Fe3+–NC–Fe2+ unit, the −CN– served as the active sites for the coordination of iron carbonyl, while the surface Fe sites chelated with the amine-functionalized polyethylene glycol (NH2–PEG6000–NH2) to yield PEGylated PB NPs carrying CO. The control of light intensity and exposure period is important to release the amount of CO as well as to deliver the hyperthermia effect. The combination therapy including CO and photothermal treatments displayed a synergistic effect against cancer cells. Importantly, the release of CO is inert in the blood circulation without NIR irradiation. The blood oxygen saturation measured by the pulse oximeter and the HCO3, tCO2, and pH values analyzed by the blood assay revealed the steady status from the mice studies, showing no acute CO poisoning.