Rationale: Immune checkpoint (ICP) blockade therapy combined with chemotherapy is a promising treatment strategy for tumors. Chemotherapeutic agents usually function inside the tumor cells, while ICP inhibitors are efficacious out of the tumor cells. It is desirable to effectively co-deliver an ICP inhibitor and a chemotherapy agent to different sites of a tumor. We have designed an effective drug delivery system to accomplish both objectives. Methods: We designed a Pickering nanoemulsion (PNE) using multi-sensitive nanogels with pH-responsive, hydrophilicity-hydrophobicity switch, and redox-responding properties as an oil/water interfacial stabilizer. The D/HY@PNE was employed for specified spatial delivery of the chemotherapy agent doxorubicin (DOX) and ICP inhibitor HY19991 (HY). We systematically investigated the pH-responsive disassembly of PNE, the release of DOX and HY from D/HY@PNE in the tumor microenvironment, enhanced tumor penetration of DOX, immunogenic cell death (ICD), antitumor efficacy, and the immune response induced by D/HY@PNE in vitro and in vivo. Results: D/HY@PNE disassembled to release the ICP inhibitor HY and DOX-loaded nanogels due to the hydrophilicity-hydrophobicity reversal of nanogels in the acidic tumor microenvironment. Quantitative analysis indicates that D/HY@PNE presents enhanced tumor penetration behavior and effectively induces ICD. The strong immune response induced by D/HY@PNE was due to the efficient synergetic combination of chemotherapy and immunotherapy and resulted in enhanced antitumor efficacy in 4T1 tumor-bearing mice. Conclusion: This novel strategy highlights the promising potential of a universal platform to co-deliver different therapeutic or diagnostic reagents with spatial regulation to improve the anti-tumor effect.