The invention relates to a preparation method and application of an indocyanine green loaded self-assembled multifunctional nano targeting system. The indocyanine green loaded self-assembled multifunctional nano targeting system can be used for effectively solving the problems of the existing antitumor drugs in tumor therapy that the targeting property is poor, the toxic or side effects are high, the half decay time is short, the dosage of administration is high, the function is single, and the like. Doxorubicin is connected with hydroxychloroquine in a manner of using disulfide bonds as connecting arms so as to form self-assembled nanoparticles, then, indocyanine green is physically adsorbed into the nanoparticles, and then, the nanoparticles are wrapped by phospholipid polyethylene glycol folic acid so as to form the indocyanine green loaded self-assembled multifunctional nano targeting system, wherein each disulfide bond is 3,3'-dithiodipropionic acid or 2,2'-dithio diacetic acid, and the molecular weight of phospholipid polyethylene glycol folic acid is 1-4kDa. The indocyanine green loaded self-assembled multifunctional nano targeting system is simple and convenient in synthesis process, has the advantages of good biocompatibility, high targeting property, reduction sensitivity, hypotoxicity and the like and is an innovation of pharmaceutical preparations for the diagnosis and treatment of tumors.