We prepared a hydroxypropyl methyl cellulose-sodium alginate (HPMC-SA) composite hydrogel with a membrane covering the semi-interpenetrating network based on a semi-synthetic polymer hydroxypropyl methyl cellulose (HPMC) and a natural polymer sodium alginate (SA) by Ca2+ crosslinking and polyelectrolyte complexation with chitosan (CS) covering the hydrogel surface. The physiochemical properties of HPMC-SA hydrogels were evaluated by scanning electron microscopy, infrared spectrum, X-ray diffraction, and thermogravimetric analysis. The swelling ratio of the HPMC-SA composite hydrogel in simulated gastrointestinal fluid was measured. The drug release behavior of the HPMC-SA composite hydrogel for macro-molecular and small-molecule drugs was evaluated by using bovine serum albumin, metformin hydrochloride, and indomethacin as model drugs. The results showed that the HPMC-SA hydrogel had good water absorption and degradability, an increased swelling ratio of 55, and a prolonged time for maximum swelling degree of 50 h. Moreover, the hydrogel exhibited higher drug-loading capacity and improvements in the sustained release of bio-macromolecules, demonstrating its potential as a drug carrier for biomedical applications.