In this paper, a novel synthesis of polyethylene glycol (PEG)‐modified polypyrrole (PPy) nanomaterials is demonstrated by combining reversible addition‐fragmentation chain transfer polymerization and oxidative polymerization. Dye molecules with a heat‐labile linker are used as a model drug and covalently anchored onto the PEGlated PPy nanomaterials via “click chemistry.” The strong absorption of such PPy nanomaterials in the near‐infrared region endows the system excellent photothermal effect, which can be used not only as efficient photothermal agents for photothermal therapy but also good controllers of a drug‐release system by retro D–A reaction.