Osteoarthritis (OA), as a chronic degenerative joint disorder, has seriously affected the life quality of patients. Despite lots of drug treatment strategies that have been studied, the therapeutic effect is still unsatisfactory due to the lack of prolonged circulation life and targeted delivery ability. Recently, functional cell membranes modified nanoparticles have been explored to achieve high-efficiency drug delivery. Herein, neutrophil-erythrocyte hybrid membranes-coated dexamethasone sodium phosphate (Dexp)-loaded hollow copper sulfide nanoparticles (D-CuS@NR NPs) were fabricated for OA treatment. Generally, we achieved the synergistic treatment of mild-heating, prolonged circulation, and targeted delivery in this system. In particular, this biomimetic nanoparticle showed significant cytocompatibility and anti-inflammatory ability in vitro due to cell membrane coating and photothermal responsive drug release under NIR irradiation. Importantly, in vivo explorations revealed that D-CuS@NR NPs combined with photothermal treatment obtained an excellent therapy effect for preventing the OA process. Hence, this novel hybrid membranes-coated CuS NPs showed significant therapeutic efficacy by local warming and targeted drug delivery, which might become a promising drug delivery vehicle for improving the therapeutic effect of OA.