Triple-negative breast cancer (TNBC) is an aggressive breast cancer subtype with high immunogenicity. In this study, we developed a peptide-modified cyclodextrin-based nanosystem for co-delivery of celastrol and siPD-L1, named H4R6RGD-carboxymethyl-β-cyclodextrin@celastrol/siPD-L1 nanoparticles (H−C@C/siPD-L1 NPs). The cyclodextrin derivative could simultaneously utilize its cavity and positively charged chain to deliver siPD-L1 and celastrol (cela) through hydrophobic and electrostatic interactions. H−C@C/siPD-L1 NPs exhibited excellent stability and dispersibility. Characterization revealed that the nanoparticles exhibited a spherical morphology, displaying smooth surfaces and an average diameter of approximately 200 nm. The H−C@C/siPD-L1 NPs demonstrated enhanced cellular uptake and efficient lysosomal escape, thereby improving drug utilization while minimizing side effects on normal tissues. Furthermore, the H−C@C/siPD-L1 NPs facilitated the delivery of siPD-L1, effectively reducing the expression of PD-L1. This, in turn, promoted tumor apoptosis and augmented the antitumor effect through the endoplasmic reticulum (ER) stress-related apoptotic pathway. Notably, this multifunctional nanodrug delivery system, designed for the combination of chemotherapy and gene therapy, not only exhibited a potent antitumor effect but also improved the immunosuppressive microenvironment of the tumor. The targeted co-delivery of cela and siPD-L1 holds significant potential in advancing the application of chemotherapeutic and genic nanomedicine for the treatment of TNBC. The materials would have good application prospects in the field of clinical drug delivery.