The tumour microenvironment thwarts conventional immunotherapy through multiple immunologic mechanisms, such as the secretion of the transforming growth factor-β (TGF-β), which stunts local tumour immune responses. Therefore, high doses of interleukin-2 (IL-2), a conventional cytokine for metastatic melanoma, induces only limited responses. To overcome the immunoinhibitory nature of the tumour microenvironment, we developed nanoscale liposomal polymeric gels (nanolipogels; nLGs) of drug-complexed cyclodextrins and cytokine-encapsulating biodegradable polymers that can deliver small hydrophobic molecular inhibitors and water-soluble protein cytokines in a sustained fashion to the tumour microenvironment. nLGs releasing TGF-β inhibitor and IL-2 significantly delayed tumour growth, increased survival of tumour-bearing mice, and increased the activity of natural killer cells and of intratumoral-activated CD8⁺ T-cell infiltration. We demonstrate that the efficacy of nLGs in tumour immunotherapy results from a crucial mechanism involving activation of both innate and adaptive immune responses.