Multiple sclerosis (MS) is a demyelinating and inflammatory disease of the central nervous system (CNS) in need of a curative treatment. MS research has recently focused on the development of pro-remyelinating treatments and neuroprotective therapies. Here, we aimed at favoring remyelination and reducing neuro-inflammation in a cuprizone mouse model of brain demyelination using nanomedicines. We have selected lipid nanocapsules (LNC) coated with the cell-penetrating peptide transactivator of translation (TAT), loaded with either a pro-remyelinating compound, calcitriol (Cal-LNC TAT), or an anti-inflammatory bioactive lipid, prostaglandin D2-glycerol ester (PGD2-G) (PGD2-G-LNC TAT). Following the characterization of these formulations, we showed that Cal-LNC TAT in combination with PGD2-G-LNC TAT increased the mRNA expression of oligodendrocyte differentiation markers both in the CG-4 cell line and in primary mixed glial cell (MGC) cultures. However, while the combination of Cal-LNC TAT and PGD2-G-LNC TAT showed promising results in vitro, no significant impact, in terms of remyelination, astrogliosis, and microgliosis, was observed in vivo in the corpus callosum of cuprizone-treated mice following intranasal administration. Thus, although calcitriol's beneficial effects have been abundantly described in the literature in the context of MS, here, we show that the different doses of calcitriol tested had a negative impact on the mice well-being and showed no beneficial effect in the cuprizone model in terms of remyelination and neuro-inflammation, alone and when combined with PGD2-G-LNC TAT.