Phase separation is a universal physical transition process whereby a homogeneous mixture splits into two distinct compartments that are driven by the component activity, elasticity, or compositions. In the current work, we develop a series of heterogeneous colloidal suspensions that exhibit both liquid-liquid phase separation of semiflexible binary polymers and liquid crystal phase separation of rigid, rod-like nanocellulose particles. The phase behavior of the multicomponent mixture is controlled by the trade-off between thermodynamics and kinetics during the two transition processes, displaying cholesteric self-assembly of nanocellulose within or across the compartmented aqueous phases. Upon thermodynamic control, two-, three-, and four-phase coexistence behaviors with rich liquid crystal stackings are realized. Among which, each relevant multiphase separation kinetics shows fundamentally different paths governed by nucleation and growth of polymer droplets and nanocellulose tactoids. Furthermore, a coupled multiphase transition can be realized by tuning the composition and the equilibrium temperature, which results in thermotropic behavior of polymers within a lyotropic liquid crystal matrix. Finally, upon drying, the multicomponent mixture undergoes a hierarchical self-assembly of nanocellulose and polymers into stratified cholesteric films, exhibiting compartmentalized polymer distribution and anisotropic microporous structure.