Immune system deficiencies are crucial in the progression of cancer, predominantly because immune cells are not stimulated by cytokines to eradicate cancer cells. Immunochemotherapy is currently considered an innovative approach that creates pathways in cancer treatment, sometimes also aiding in the efficacy of chemotherapeutics. The aim of this study was to prepare a cyclodextrin (CD) nanoplex based on charge interaction to deliver the anticancer drug 5-fluorouracil (5-FU) and Interleukin-2 (IL-2), thereby forming a nanoscale drug delivery system aimed at chemo-immunotherapy for colorectal cancers. The CD:IL-2 nanoplexes were obtained with a particle size below 100 nm and a cationic surface charge based on the extent of charge interaction of the cationic CD polymer with negatively charged IL-2. The loading capacity of CD nanoplexes was 40% for 5-FU and 99.8% for IL-2. Nanoplexes maintained physical stability in terms of particle size and zeta potential in aqueous solution for 1 week at + 4 °C. Moreover, the structural integrity of IL-2 loaded into CD nanoplexes was confirmed by SDS-PAGE analysis. The cumulative release rates of both 5-FU and IL-2 were found to be more than 80% in simulated biological fluids in 12 h. Cell culture studies demonstrate that CD polymers are safe on healthy L929 mouse fibroblast cells. Drug-loaded CD nanoplexes were determined to have a higher anticancer effect than free drug solution against CT26 mouse colon carcinoma cells. In addition, intestinal permeability studies supported the conclusion that CD nanoplexes could be promising candidates for oral chemotherapy as well. In conclusion, effective cancer therapy utilizing the absorptive/cellular uptake effect of CDs, the synergic effect and co-transport of chemotherapeutic drugs and immunotherapeutic molecules is a promising approach. Furthermore, the transport of IL-2 with this nano-sized system can reduce or avoid its toxicity problem in the clinic.