Nanoassemblies based on drug conjugates with high drug loading efficiency and stability have been regarded as promising candidates for the next generation of drug formulations. However, they are mostly amphiphilic. Here, a dual-hydrophobic drug conjugate-based nanoassembly has been created for enhanced synergistic antiproliferation against colorectal cancer cells. Camptothecin (CPT) and doxorubicin (DOX) were chosen as the hydrophobic drugs and covalently linked with a disulfide bond (-ss-). The synthesized CPT-ss-DOX can self-assemble into nanocubes (NCs) in an aqueous solution with the assistance of a small amount of polyethylene glycol (PEG), named PEGylated CPT-ss-DOX NCs. The PEGylated CPT-ss-DOX NCs were approximately 111.8 nm, possessing a crystal structure and a very low critical aggregation concentration (8.36 μg•mL −1 ). The self-assembly mechanism was studied using molecular docking and molecular dynamic simulation methods. The NCs demonstrated excellent storage stability and improved water solubility of CPT and DOX. These NCs could be taken up by cancer cells and gradually release the drugs. In addition, they had higher toxicity to cancer cells than a mixture of CPT and DOX, while they displayed reduced toxicity to normal cells. Due to assembly and PEG modification, the NCs improved drug retention time and enhanced accumulation at the tumor site. More importantly, they significantly inhibited colorectal tumor growth (58.37%) in vivo, superior to the CPT+DOX mix (42.63%). Moreover, the NCs reduced the cardiac toxicity of free drugs. Therefore, the prepared PEGylated CPT-ss-DOX NCs hold great potential for clinical transformation and provide a novel method for the self-delivery of hydrophobic molecules in cancer therapy.