Myeloid-derived suppressor cells (MDSCs) have played a significant role in facilitating tumor immune escape and inducing an immunosuppressive tumor microenvironment. Eliminating MDSCs and tumor cells remains a major challenge in cancer immunotherapy. A novel approach has been developed using gemcitabine-celecoxib twin drug-based nano-assembled carrier-free nanoparticles (GEM-CXB NPs) for dual depletion of MDSCs and tumor cells in breast cancer chemoimmunotherapy. The GEM-CXB NPs exhibit prolonged blood circulation, leading to the preferential accumulation and co-release of GEM and CXB in tumors. This promotes synergistic chemotherapeutic activity by the proliferation inhibition and apoptosis induction against 4T1 tumor cells. In addition, it enhances tumor immunogenicity by immunogenic cell death induction and MDSC-induced immunosuppression alleviation through the depletion of MDSCs. These mechanisms synergistically activate the antitumor immune function of cytotoxic T cells and natural killer cells, inhibit the proliferation of regulatory T cells, and promote the M2 to M1 phenotype repolarization of tumor-associated macrophages, considerably enhancing the overall antitumor and anti-metastasis efficacy in BALB/c mice bearing 4T1 tumors. The simplified engineering of GEM-CXB NPs, with their dual depletion strategy targeting immunosuppressive cells and tumor cells, represents an advanced concept in cancer chemoimmunotherapy.