Ultrasmall PEGylated Cu2–xSe nanoparticles with strong near‐infrared absorption have been prepared by an ambient aqueous method. The resultant water‐soluble and biocompatible nanoparticles are demonstrated to be a novel nanotheranostic agent for effective deep‐tissue photoacoustic imaging, computed tomography imaging, single‐photon emission computed tomography imaging, and photothermal therapy of cancer.