All-trans-retinoic acid (ATRA) represents the first-choice treatment for several skin diseases, including epithelial skin cancer and acne. However, ATRA’s cutaneous side effects, like redness and peeling, and its high instability limit its efficacy. To address these drawbacks and to improve ATRA solubilization, we prepared ATRA-loaded micelles (ATRA-TPGSs), by its encapsulation in D-α-tocopheryl-polyethylene-glycol-succinate (TPGS). First, to explore the feasibility of the project, a solubility study based on the equilibrium method was performed; then, six ATRA-TPGS formulations were prepared by the solvent-casting method using different TPGS amounts. ATRA-TPGSs showed small sizes (11–20 nm), low polydispersity, slightly negative zeta potential, and proved good encapsulation efficiency, confirmed by a chemometric-assisted Fourier transform infrared spectroscopy (FTIR) investigation. ATRA-TPGS stability was also investigated to choose the most stable formulation. Using Carbopol® 980 as gelling agent, ATRA-TPGS-loaded gels were obtained and analyzed for their rheological profiles. Ex vivo release studies from ATRA-TPGSs were performed by Franz cells, demonstrating a permeation after 24 h of 22 ± 4 µ cm−2. ATRA-TPGSs showed enhanced cytotoxic effects on melanoma cells, suggesting that these formulations may represent a valid alternative to improve patient compliance and to achieve more efficacious therapeutic outcomes.