Reducing the inflammatory response is a major goal in the therapy of rheumatoid arthritis (RA). Herein, we integrated palladium nanoparticles (Pd NPs) with selenium nanoparticles (Se NPs) and obtained a multiple nanosystem (Pd@Se-HA NPs) that could simultaneously scavenge hydroxyl radicals (⋅OH) and provide a photothermal effect. The Pd@Se-HA NPs were constructed by a simple self-assembly method in which Se NPs were electrostatically bonded to Pd NPs; hyaluronic acid (HA) was linked to the NPs by ester bonding to provide macrophage targeting ability. The experiments show that the combined therapy of eliminating ⋅OH with Se NPs and utilizing PTT with Pd NPs could effectively reduce the inflammatory response in macrophages more effectively than either individual NP treatment. In addition, the outer layer of HA could specifically target the CD44 receptor to enhance the accumulation of Pd@Se NPs at the lesion, further enhancing the therapeutic effect. After treatment for 15 days, the Pd@Se-HA NPs nearly eliminated the inflammatory response in the joints of mice in an induced RA model, and prevented joint damage and degradation.