Abundant efforts have recently been made to design potent theranostic nanoparticles, which combine diagnostic and therapeutic agents, for the effective treatment of cancer. In this study, we developed multifunctional magnetic gold nanoparticles (MGNPs) that are able to (i) selectively deliver the drug to the tumor site in a controlled-release manner, either passively or by using magnetic targeting; (ii) induce photothermal therapy by producing heat by near-infrared (NIR) laser absorption; and (iii) serve as contrast agents for magnetic resonance imaging (MRI) (imaging-guided therapy). The prepared MGNPs were characterized by different physical techniques. They were then coated and conjugated with polyethylene glycol (PEG) and doxorubicin (DOX) to form MGNP-DOX conjugates. The high efficacy of MGNP-DOX for combined chemo-photothermal therapy was observed both in vitro and in vivo. The effectiveness of MGNP-DOX as theranostic nanoparticles was confirmed by histopathological examination and immunohistochemical studies. Moreover, MGNP-DOX showed good potential as MRI contrast agents for guided chemo-photothermal synergistic therapy.