Natamycin is the only drug approved for fungal keratitis treatment, but its low water solubility and low ocular penetration limit its efficacy. The purpose of this study was to overcome these limitations by encapsulating the drug in single or mixed micelles and poly(pseudo)rotaxanes. Soluplus and Pluronic P103 dispersions were prepared in 0.9% NaCl and pH 6.4 buffer, with or without α-cyclodextrin (αCD; 10% w/v), and characterized through particle size, zeta potential, solubilization efficiency, rheological properties, ocular tolerance, in vitro drug diffusion, and ex vivo permeation studies. Soluplus micelles (90–103 nm) and mixed micelles (150–110 nm) were larger than Pluronic P103 ones (16–20 nm), but all showed zeta potentials close to zero. Soluplus, Pluronic P103, and their mixed micelles increased natamycin solubility up to 6.00-fold, 3.27-fold, and 2.77-fold, respectively. Soluplus dispersions and poly(pseudo)rotaxanes exhibited in situ gelling capability, and they transformed into weak gels above 30 °C. All the formulations were non-irritant according to Hen’s Egg Test on the Chorioallantoic Membrane (HET-CAM) assay. Poly(pseudo)rotaxanes facilitated drug accumulation into the cornea and sclera, but led to lower natamycin permeability through the sclera than the corresponding micelles. Poly(pseudo)rotaxanes made from mixed micelles showed intermediate natamycin diffusion coefficients and permeability values between those of Pluronic P103-based and Soluplus-based poly(pseudo)rotaxanes. Therefore, the preparation of mixed micelles may be a useful tool to regulate drug release and enhance ocular permeability.