Developing new easy‐to‐prepare functional drug delivery nanosystems with good storage stability, low hemotoxicity, as well as controllable drug delivery property, has attracted great attention in recent years. In this work, a cholesterol‐based prodrug nanodelivery system is prepared by self‐assembly of cholesterol‐doxorubicin prodrug conjugates (Chol‐Dox) and tocopherol polyethylene glycol succinate (TPGS) using thin‐film hydration method. The Chol‐Dox/TPGS assemblies (molar ratio 2:1, 1:1, and 1:2) are able to form nanoparticles with average hydrodynamic diameter of ≈140–214 nm, surface zeta potentials of ≈−24.2–−0.3 mV, and remarkable solution stability in 0.1 m PBS, 16 days). The Chol‐Dox/TPGS assemblies show low hemotoxicity and different cytotoxicity profiles in breast cancer cells (MCF‐7 and MDA‐MB‐231), which are largely dependent on the molar ratio of Chol‐Dox and TPGS. The Chol‐Dox/TPGS assemblies tend to enter into MCF‐7 and MDA‐MB‐231 cells through non‐Clathrin‐mediated multiple endocytosis and lysosome‐dependent uptake pathways, moreover, these nanoassemblies demonstrate lysosome‐dependent intracellular localization, which is different from that of free DOX (nuclear localization). The results demonstrate that the Chol‐Dox/TPGS assemblies are promising cholesterol‐based prodrug nanomaterials for breast cancer chemotherapy. Practical Applications: This work demonstrates a lipid prodrug‐based nanotherapeutic system. Herein the Chol‐Dox/TPGS nanoassemblies could serve as promising and controllable cholesterol‐based prodrug nanomaterials/nano‐formulations for potential breast cancer chemotherapy. In this work, prodrug‐based nanoassemblies (Chol‐Dox/TPGS) are prepared, which exhibit remarkable solution stability, low hemotoxicity, high cellular uptake and Chol‐Dox/TPGS ratio‐dependent cytotoxicity in breast cancer cells (MCF‐7 and MDA‐MB‐231). Moreover, the nanoassemblies enter into cells through non‐Clathrin‐mediated multiple endocytosis, lysosome‐dependent uptake pathways, and demonstrate lysosome‐localization, which is different from that of free DOX (nuclear localization).