The development of high-performance photothermal nanomaterials is essential for advancing clinical diagnostics, biosensing, and energy conservation technologies. In this study, the potential of multilayered nanostructures to enhance light trapping and improve photothermal efficiency was investigated. We successfully synthesized innovative triple-layer Prussian blue nanocubes (tl-Pt@PBNCs) with a multilevel core-shell architecture, optimizing them for both structural stability and exceptional photothermal performance. The optical wave and laser simulations revealed that the unique architecture of the tl-Pt@PBNCs facilitated multiple internal reflections and refractions of incident light within their cavities. This design greatly increased the effective path length, thereby enhancing light absorption and heat generation. Additionally, density functional theory calculations indicated that the incorporation of Pt atoms disrupted the crystal lattice symmetry, leading to the splitting of the d-orbits in Mn and Fe atoms. This disruption narrowed the band gap, resulting in a red shift of the absorption wavelength and finally improved photothermal conversion efficiency. Leveraging the unique properties of tl-Pt@PBNCs, a portable and sensitive immunoassay was designed for the detection of the illegal additive, rosiglitazone. By investigating the relationship between morphology and photothermal properties, this work deepens our understanding of the photothermal conversion mechanism and expands the potential applications of tl-Pt@PBNCs in point-of-care testing.