Prodrugs containing lipid moieties attached to drug derivatives, such as anti-cancer drug derivatives, via linkers comprising disulfide groups are described. Also described are nanoparticles coated with a lipid layer containing the prodrugs, formulations comprising the nanoparticles, and the use of the nanoparticles in methods of treating diseases, such as cancer, alone or in combination with additional drug compounds, targeting agents, and/or immunotherapy agents, such as immunosuppression inhibitors that target the CTLA-4, PD-1/PD-L1, IDO, LAG-3, CCR-7 or other pathways, or multiple immunosuppression inhibitors targeting a combination of such pathways. Optionally, the nanoparticles can comprise a photosensitizer or a derivative thereof and can be used in methods involving photodynamic therapy. Synergistic therapeutic effects result from combinations of multiple modalities provided by the disclosed nanoparticles and/or nanoparticle formulations.