DNA nanoassembly-loaded CFA@SD core-shell nanoparticles and doxorubicin (Dox) were constructed based on the rolling circle amplification reaction (RCA), which is called CFA@RD NAs. CFA NPs was prepared by coating a gold nanoshell on the surface of Fe3O4 NPs modified with citrate. Then, single-stranded DNA (SD, partial sequence is complementary to RCA) was further modified on the surface of CFA NPs through a gold-sulfur bond to synthesize CFA@SD NPs. An RCA assembly (RA) is constructed by integrating two different functional single-stranded DNAs (S2.2 aptamer strand and support strand) with RCA as the basic skeleton. Based on the principle of complementary base pairing and Dox/G-C base autonomic binding, CFA@SD and Dox were loaded onto the RA carrier to construct the CFA@RA-Dox nanoassembly (CFA@RD NAs). In vitro cell experiments showed that dual targeting (S2.2 aptamer active targeting and CFA magnetic passive targeting) significantly enhanced the uptake of NAs by MCF-7 cells and reduced the toxic side effects on normal cells. The loading of CFA by RA achieved aggregation between CFA NPs, causing NAs to have a better photothermal effect. In addition, the loading amount of Dox by the NAs was about 255 nmol/mol, and under the conditions of simulating the intracellular environment, Dox could be quickly released within 30 min. The high loading and effective release of Dox by NAs caused it to have an efficient CT effect. This study provides a strategy for the combined killing of MCF-7 cells through DNA nanotechnology combined with dual targeting, photothermal therapy (PTT), and chemotherapy (CT), which has obvious advantages over traditional single chemotherapy and has great potential in the treatment of breast cancer.