Achieving J-aggregation of a molecule is a fascinating way to construct fluorescent imaging and photothermal therapy agents in the second near-infrared window. Modulation of the balance between intermolecular π–π stacking and steric interactions is an elegant method to acquire J-aggregation dyes. Herein, we succeeded in synthesizing an aza-BODIPY dye with J-aggregation characteristics by introducing steric hindrance (TPA) and a π-bridge (thiophene) in the aza-BODIPY skeleton. In aqueous solutions, supramolecular J-aggregates with a regular lamellar stacking structure could quickly be formed by the dye-templated self-assembly and longer absorption (λ_max = 939 nm) and emission (λ_max = 1039 nm) bands were observed. After co-assembly of the dye and an amphiphilic polypeptide (POEGMA₂₃–PAsp₂₀), the obtained J-aggregation nanoparticles (J-NPs) with good water solubility and smaller size were more suitable for application in living organisms. In addition, the J-NPs exhibited good stability, considerable photothermal conversion capacity (η = 35.6%), and excellent resistance to pH, H₂O₂, and photobleaching. In vitro and in vivo experiments revealed that the J-NPs show great NIR-II fluorescence imaging capabilities and anti-tumor effects under 915 nm irradiation (1 W cm⁻²). This is a rare example of using BODIPY dyes to perform NIR-II fluorescence imaging-guided photothermal therapy under NIR-II irradiation.