Photodynamic therapy (PDT) is a promising treatment for cancers such as superficial skin cancers, esophageal cancer, and cervical cancer. Unfortunately, PDT often does not have sufficient therapeutic benefits due to its intrinsic oxygen dependence and the limited permeability of irradiating light. Side effects from “always on” photosensitizers (PSs) can be problematic, and PDT cannot treat tumor metastases or recurrences. In recent years, supramolecular approaches using non-covalent interactions have attracted attention due to their potential in PS development. A supramolecular PS assembly could be built to maximize photodynamic effects and minimize side effects. A combination of two or more therapies can effectively address shortcomings while maximizing the benefits of each treatment regimen. Using the supramolecular assembly, it is possible to design a multifunctional supramolecular PS to exert synergistic effects by combining PDT with other treatment methods. This review provides a summary of important research progress on supramolecular systems that can be used to combine PDT with photothermal therapy, chemotherapy, and immunotherapy to compensate for the shortcomings of PDT, and it provides an overview of the prospects for future cancer treatment advances and clinical applications.