The combination of chemotherapy with the immune checkpoint blockade (ICB) therapy is bringing a tremendous hope in the treatment of malignant tumors. However, the treatment efficacy of the existing chemo-immunotherapy is not satisfactory due to the high cost and immunogenicity of ICB antibodies, low response rate to ICB, off-target toxicity of therapeutic agents, and low drug co-delivery efficacy. Therefore, a high-efficient nanosystem combining the delivery of chemotherapeutics with small molecule ICB inhibitors may be promising for an efficient cancer therapy. Herein, a novel reactive oxygen species (ROS)-activated liposome nanoplatform was constructed by the loading of a ROS-sensitive paclitaxel derivative (PSN) into liposomes to overcome the difficulties on delivering paclitaxel mostly represented by premature drug release and a low amount accumulated into the tumor. The innovative liposomal nanosystem was rationally designed by a remote loading of BMS-202 (a small molecule PD-1/PD-L1 inhibitor) and PSN into the liposomes for a ROS-sensitive paclitaxel release and sustained BMS-202 release. The co-loaded liposomes resulted in a high co-loading ability and improved pharmacokinetic properties. An orthotopic 4 T1 breast cancer model was used to evaluate the efficiency of our nanoplatform in vivo, resulting in a superior antitumor activity. The antitumor immunity was activated by paclitaxel-mediated immunogenic cell death, while BMS-202 continuously blocked PD-L1 which could be up-regulated by paclitaxel in tumors to increase the response to ICB and further recover the host immune surveillance. These results revealed that this dual-delivery liposome might provide a promising strategy for a high-efficient chemo-immunotherapy, exhibiting a great potential for clinical translation.