Carrier-free nanodelivery systems are fully self-assembled from active ingredients through interactions, offering the advantages of green, safe, and large-scale manufacturing. To improve the dispersion of Citrus × limon ‘Rosso’ peel essential oil (CEO) in water and boost the biological activity of CEO and tea polyphenols (TP), self-assembled CEO-TP colloidal dispersions (CEO-TP Colloids) were fabricated through sonication without surfactants or carriers. The optimal CEO and TP concentrations in the CEO-TP Colloids were determined to be 10.0 and 20.0 mg/mL by particle size and stability analyzer, respectively. The CEO self-assembled with TP to form spherical nanoparticles through hydrophobic and hydrogen-bonding interactions, whereas the CEO in CEO-TP Colloids weakened TP intramolecular aggregation. Meanwhile, the CEO-TP Colloids showed synergistic effects with better antibacterial, cellular antioxidant, and anti-inflammatory activities than single components. This study opens up the possibility of carrier-free co-delivery of hydrophobic and hydrophilic active components developed into food-grade formulations with multiple bioactivities.