Dry eye disease (DED) has become a globally recognized public health problem with complex pathogenesis. Recent studies showed that oxidative stress damage and its induced inflammation are the main contributors to the occurrence and progression of dry eye. Here, a novel antioxidative and reactive oxygen species (ROS)-responsive micellar system is reported to improve the ocular surface delivery of highly hydrophobic immunosuppressive cyclosporine A (CSA). This drug carrier is utilized together with the loaded anti-inflammatory drug to achieve a combinatorial treatment of DED. In detail, the selenium substituted random copolymer Se-PEG-PPG is the key to such design, which self-assembles into cornea-penetrating nanoscale micelles with a neutral shell and small size (<50 nm). The Se-PEG-PPG micelles also exerted synergetic therapeutic effects by decreasing intracellular oxidative stress and inhibiting cell apoptosis because of the ROS-scavenging selenium ether group. Finally, the combinatorial anti-oxidation, anti-inflammation, and therapeutic effects of CSA@Se-PEG-PPG eye drops were demonstrated in a murine dry eye model. Taken together, this multifunctional drug delivery system provides a promising approach for the treatment of DED and various ROS-related ocular diseases.