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With a highly efficient optical absorption capability, bismuth selenide (Bi₂Se₃) can be used as an outstanding photothermal agent for anti-tumor treatment and shows promise in the field of nanotechnology-based biomedicine. However, little research has been completed on the relevant mechanism underlying the photothermal killing effect of Bi₂Se₃. Herein, the photothermal effects of Bi₂Se₃ particles on A549 cells were explored with emphasis put on autophagy. First, we characterized the structure and physicochemical property of the synthesized Bi₂Se₃ and confirmed their excellent photothermal conversion efficiency (35.72%), photostability, biocompatibility and ability of photothermal killing on A549 cells. Enhanced autophagy was detected in Bi₂Se₃-exposed cells under an 808 nm laser. Consistently, an elevated expression ratio of microtubule-associated protein 1 light chain 3-II (LC3-II) to LC3-I, a marker of autophagy occurrence, was induced in Bi₂Se₃-exposed cells upon near infrared (NIR) irradiation. Meanwhile, the expression of cleaved-PARP was increased in the irradiated cells dependently on the exposure concentrations of Bi₂Se₃ particles. Pharmacological inhibition of autophagy by 3-methyladenine (3-MA) further strengthened the photothermal killing effect of Bi₂Se₃. Meanwhile, stress-related signaling pathways, including p38 and stress activated protein kinase/c-Jun N-terminal kinase (SAPK/JNK), were activated, coupled with the attenuated PI3K/Akt signaling. Our study finds that autophagy and the activation of stress-related signaling pathways are involved in the photothermal killing of cancerous cells by Bi₂Se₃, which provides a more understanding of photothermal materials.