Myeloid-Derived Suppressor Cells (MDSCs), immunosuppressive cells that promote tumor growth, represent an attractive target in cancer immunotherapy. However, the clinical success of this strategy is limited by the lack of efficient drug delivery vehicles targeting this cell compartment. The objective of this work was to develop a delivery carrier, multilayer polymer nanocapsules, with the capacity to co-encapsulate two types of immunomodulatory drugs, a chemokine and an RNAi sequence, aimed at reverting MDSC-mediated immunosuppression. The chemokine CCL2, intended to attract monocyte-macrophage MDSCs, was encapsulated within the L2 inverse micellar aqueous domains of the lipid core of these nanocapsules. On the other hand, two different RNAi sequences that modulate the CCAAT/enhancer-binding protein beta (C/EBPβ) pathway, shC/EBPβ and miR 142-3p, were successfully associated to their polymer shell. These RNAi sequences were covered by subsequent layers of polyarginine and hyaluronic acid, thereby creating multi-layered assemblies that protected them and facilitated their targeted delivery. The in vitro studies performed in primary MDSCs cultures showed the capacity of miR 142-3p-loaded nanocapsules to reduce the highly immunosuppressive monocyte-macrophage subset. Additionally, the encapsulation of CCL2 within the nanocapsules induced a potent monocyte-macrophage chemoattraction that could be used to direct the therapy to these cell subsets. Finally, in vitro and in vivo studies showed the capacity of shC/EBPβ-loaded nanocapsules to downregulate C/EBPβ levels in MDSCs and to reduce monocyte differentiation into tumor-associated macrophages in an MCA-203 fibrosarcoma mice model. In conclusion, the multilayer polymer nanocapsules described here are efficient vehicles for the co-delivery of proteins and RNA, and are potential candidates as nanomedicines for the modulation of MDSCs.