Near-infrared (NIR) light triggered photodynamic therapy (PDT), based on upconversion nanoparticles (UCNPs), has attracted great attention because of its high tissue penetration and low photodamage to living organisms. However, most UCNPs cannot be stably dispersed in aqueous solution and cannot carry photosensitive drugs directly. Besides, UCNP mediated PDT is a fluorescence resonance energy transfer (FRET) process from the UCNPs to the attached photosensitive drugs. So the drug and UCNPs must be stably connected and close enough. In this manuscript, carboxymethyl-β-cyclodextrin (COOH-β-CD) was used to connect UCNPs and adamantine modified phthalocyanine (Ad-ZnPc) through a self-assembly process followed by a host-guest interaction. COOH-β-CD can provide good water solubility of the system and short-distance linking between the UCNPs and Ad-ZnPc. Most importantly, the system has a strong NIR light triggered PDT activity toward cancer cells.