In this study, double‐emulsion capsules (DECs) capable of concealing drug‐incorporated targeted‐supermolecules are developed to achieve “on‐demand” supermolecule release and enhanced sequential targeting for magneto‐chemotherapy. These water‐in‐oil‐in‐water DECs less than 200 nm in diameter are synthesized using a single component of PVA (polyvinyl alcohol) polymer and the magnetic nanoparticles, which are capable of encapsulating large quantities of targeted supermolecules composed of palitaxel‐incorporated beta‐cyclodextrin decorated by hyaluronic acid (HA, a CD44‐targeting ligand) in the watery core. The release profiles (slow, sustained and burst release) of the targeted supermolecules can be directly controlled by regulating the high‐frequency magnetic field (HFMF) and polymer conformation without sacrificing the targeting ability. Through an intravenous injection, the positive targeting of the supermolecules exhibited a 20‐fold increase in tumor accumulation via the passive targeting and delivery of DECs followed by positive targeting of the supermolecules. Moreover, this dual‐targeting drug‐incorporated supermolecular delivery vehicle at the tumor site combined with magneto‐thermal therapy suppressed the cancer growth more efficiently than treatment with either drug or supermolecule alone.