STING agonists are potent enhancers of a pro‐inflammatory response and, thus, potentially useful therapeutics. Unfortunately, many agonists developed to date require complex drug delivery formulations and often have poor water solubility, limiting their use for systemic administration. Here, we report the discovery and chemical characterization of lactones of MSA‐2 as new STING prodrugs with enhanced properties. We show that these prodrugs form efficient inclusion complexes with tumor myeloid cell targeting cyclodextrin nanoparticles and propose a new mechanism of formation and hydrolysis.