Two-dimensional CuFeSe2 nanosheets have been successfully obtained via solution-phase synthesis using a sacrificial template method. The high purity was confirmed by X-ray diffraction and the two-dimensional morphology was validated by transmission electron microscopy. The intense absorption in the 400–1400 nm region has been the basis for the CuFeSe2 nanosheets’ photothermal capabilities testing. The colloidal CuFeSe2 (CFS) nanosheets capped with S2− short ligands (CFS-S) exhibit excellent biocompatibility in cell culture studies and strong photothermal effects upon 808 nm laser irradiation. The nanosheets were further loaded with the cancer drug doxorubicin and exposed to laser irradiation, which accelerated the release of doxorubicin, achieving synergy in the therapeutic effect.