Solid lipid nanoparticles (SLNs) have shown great capabilities for drug delivery and are therefore attractive theranostic candidates when labelled with an imaging contrast agent. This work aims to create the first SLNs labelled for photoacoustic (PA) imaging by encapsulating a specially designed and near-infrared absorbing BODIPY dye (BY-aniline-Palm) into SLNs of dexamethasone palmitate. A one-pot formulation protocol enabled us to replace the prodrug with the BY-aniline-Palm label in various proportions up to 100%. Increasing the dye content resulted in complex but gradual transformations of the SLNs in terms of optical absorption and PA spectra, and the formation of aggregates at high concentration. A comprehensive and quantitative PA spectrometric study revealed a photoacoustic generation efficiency (PGE) that was spectrally varying and notably greater than 1. A joint spectral decomposition of the absorption and PA spectra into the sum of three Gaussian functions displayed a per-band evolution of the PGE when the concentration of BY-aniline-Palm varied and showed an interplay between the bands with a constant spectrum area. Finally, a novel quantitative PA spectroscopic approach, involving measurements at three different ambient temperatures, demonstrated that the remarkable PGE values arose from a significant thermo-elastic expansion of the SLNs during PA signal generation independently of the absorption band. This study highlights that labeled SLNs are promising agents for PA imaging and also unveils complex transformations that can occur in such nanosystems with a dye prone to aggregation.