Malignant tumors, also known as cancers, are a global public health problem. Nanogels are promising carriers for the delivery of anticancer medicines. Therefore, based on the unique microenvironment of tumor cells and the advantages of nanogels, a simple and economical one-pot synthesis method was designed to construct natural polysaccharide-based redox-responsive nanogels (LDD NGs). The enhanced permeability and retention (EPR) effect enriched LDD NGs in tumor cells, which then rapidly collapsed and released the natural antitumor drug diosgenin (DG) and the natural polysaccharide lentinan (LNT) via the depletion of a high level of reduced glutathione (GSH) in tumor cells, resulting in a synergistic therapeutic effect of chemotherapy and immunotherapy. In vivo antitumor experiments showed that LDD NGs could inhibit the proliferation and metastasis of the A549 lung cancer cells. Further studies indicated that LDD NGs could increase the production of ROS and induce apoptosis of A549 cells. In addition, LNT released from LDD NGs could promote the proliferation of dendritic cells, increase the production of NO, and upregulate the expressions of the costimulatory molecules CD40, CD80, CD86, and MHC-II. The construction of LDD NGs was a novel drug synthesis approach that could provide fresh ideas for the development of polysaccharide-based redox-responsive drug delivery systems.