Composite nanomaterials usually possess synergetic properties resulting from the respective components and can be used for a wide range of applications. In this work, a Pd nanocubes@ZIF-8 composite material has been rationally fabricated by encapsulation of the Pd nanocubes in ZIF-8, a common metal–organic framework (MOF). This composite was used for the efficient and selective catalytic hydrogenation of olefins at room temperature under 1 atm H2 and light irradiation, and benefits from plasmonic photothermal effects of the Pd nanocube cores while the ZIF-8 shell plays multiple roles; it accelerates the reaction by H2 enrichment, acts as a “molecular sieve” for olefins with specific sizes, and stabilizes the Pd cores. Remarkably, the catalytic efficiency of a reaction under 60 mW cm−2 full-spectrum or 100 mW cm−2 visible-light irradiation at room temperature turned out to be comparable to that of a process driven by heating at 50 °C. Furthermore, the catalyst remained stable and could be easily recycled. To the best of our knowledge, this work represents the first combination of the photothermal effects of metal nanocrystals with the favorable properties of MOFs for efficient and selective catalysis.