Polysaccharide‐based hydrogels have multiple advantages because of their inherent biocompatibility, biodegradability, and non‐toxicic properties. The feasibility of using polysaccharide‐based hydrogels could be improved if they could simultaneously fulfill the mechanical property and cell compatibility requirements for practical applications. Herein, the construction of double‐cross‐linked (DC) cellulose hydrogels is described using sequential chemical and physical cross‐linking, resulting in DC cellulose hydrogels that are mechanically superior to single‐cross‐linked cellulose hydrogels. The formation and spatial distribution of chemically cross‐linked domains and physically cross‐linked domains within the DC cellulose hydrogels are demonstrated. The molar ratio of epichlorohydrin to anhydroglucose units of cellulose and the concentration of the aqueous ethanol solution are two critical parameters for obtaining mechanically strong and tough DC cellulose hydrogels. The mechanical properties of the DC cellulose hydrogels under loading‐unloading cycles are described using compression and tension models. The possible toughening mechanism of double‐cross‐linking is discussed. Double‐cross‐linked (DC) cellulose hydrogels are fabricated by a sequential chemical and physical cross‐linking strategy. The irreversible covalent cross‐linkings, cellulose II crystallite hydrates, together with the chain entanglements and strong hydrogen bonding interactions between cellulose chains endow the DC cellulose hydrogels with high strength, high toughness, and good recoverability.