Due to growing antimicrobial resistance to antibiotics, novel methods of treatment of infected wounds are being searched for. The aim of this research was to develop a composite wound dressing based on natural polysaccharides, i.e., gellan gum (GG) and a mixture of GG and alginate (GG/Alg), containing lipid nanoparticles loaded with antibacterial peptide—nisin (NSN). NSN-loaded stearic acid-based nanoparticles (NP_NSN) were spherical with an average particle size of around 300 nm and were cytocompatible with L929 fibroblasts for up to 500 µg/mL. GG and GG/Alg sponges containing either free NSN (GG + NSN and GG/Alg + NSN) or NP_NSN (GG + NP_NSN and GG/Alg + NP_NSN) were highly porous with a high swelling capacity (swelling ratio above 2000%). Encapsulation of NSN within lipid nanoparticles significantly slowed down NSN release from GG-based samples for up to 24 h (as compared to GG + NSN). The most effective antimicrobial activity against Gram-positive Streptococcus pyogenes was observed for GG + NP_NSN, while in GG/Alg it was decreased by interactions between NSN and Alg, leading to NSN retention within the hydrogel matrix. All materials, except GG/Alg + NP_NSN, were cytocompatible with L929 fibroblasts and did not cause an observable delay in wound healing. We believe that the developed materials are promising for wound healing application and the treatment of bacterial infections in wounds.