mRNA delivery systems, such as lipid nanoparticle (LNP), have made remarkable strides in improving mRNA expression, whereas immune system activation operates on a threshold. Maintaining a delicate balance between antigen expression and dendritic cell (DC) activation is vital for effective immune recognition. Here, a water-in-oil-in-water (w/o/w) Pickering emulsion stabilized with calcium phosphate nanoparticles (CaP-PME) is developed for mRNA delivery in cancer vaccination. CaP-PME efficiently transports mRNA into the cytoplasm, induces pro-inflammatory responses and activates DCs by disrupting intracellular calcium/potassium ions balance. Unlike LNP, CaP-PME demonstrates a preference for DCs, enhancing their activation and migration to lymph nodes. It elicits interferon-γ-mediated CD8+ T cell responses and promotes NK cell proliferation and activation, leading to evident NK cells infiltration and ameliorated tumor microenvironment. The prepared w/o/w Pickering emulsion demonstrates superior anti-tumor effects in E.G7 and B16-OVA tumor models, offering promising prospects as an enhanced mRNA delivery vehicle for cancer vaccinations.