Improving the deep penetration of nanoparticles and realizing the combination of chemotherapy and immunotherapy have become a promising strategy for cancer treatment. Herein, a nuclear-targeted tetrahedral DNA nanostructure (NLS-TDNs, NT) was synthesized to construct matrix metalloproteinase (MMP-2) sensitive hydrogels as delivery vehicles with co-loaded disulfide cross-linked polyethyleneimine (PSP)/nuclear-targeted tetrahedral DNA (NLS-TDNs, NT)/doxorubicin (DOX) nanoparticles (NPs) (PSP/NT/DOX NPs and PNT/DOX NPs) and an immune adjuvant imiquimod (R837) to realize a combination of chemotherapy and immunization for metastatic breast cancer. Due to the membrane-breaking ability of the PNT/DOX NPs, the nanoparticles could effectively achieve deep penetration into tumor tissues, and the in situ generation of tumor-associated antigens by PNT/DOX elicited a strong immune response in the presence of R837, achieving a chemo-immune combination therapy of breast cancer, inducing the maturation of dendritic cells (DCs) and secretion of related cytokines, such as interleukin-6 (IL-6), interleukin-12 (IL-12p70) and tumor necrosis factor (TNF-α) in vitro. The combination significantly promoted the proportions of cytotoxic T cells (CD8+ CTL) and cytotoxic T cells/regulatory T cells (CD8+ CTL/Treg) (5.52% and 11.46%, respectively) and the secretion of cytokines, which cooperatively eradicated primary tumor growth (the tumor growth inhibition (TGI) value was 78.3%) and inhibited the tumor from metastasizing effectively in vivo. Our study provided the basis for activating the antitumor immune system to realize chemo-immunotherapy and tumor metastasis therapy.