In this work, we aim to develop a dual drug delivery system (DDDS) of self-assembled micelles in thermosensitive hydrogel composite to deliver hydrophilic and hydrophobic drugs simultaneously for colorectal peritoneal carcinomatosis (CRPC) therapy. In our previous studies, we found that poly(ε-caprolactone)–poly(ethylene glycol)–poly(ε-caprolactone) (PCEC) copolymers with different molecular weight and PEG/PCL ratio could be administered to form micelles or thermosensitive hydrogels, respectively. Therefore, the DDDS was constructed from paclitaxel (PTX) encapsulated PCEC micelles (PTX-micelles) and a fluorouracil (Fu) loaded thermosensitive PCEC hydrogel (Fu-hydrogel). PTX-micelles were prepared by self-assembly of biodegradable PCEC copolymer (Mn = 3700) and PTX without using any surfactants or excipients. Meanwhile, biodegradable and injectable thermosensitive Fu-hydrogel (Mn = 3000) with a lower sol–gel transition temperature at around physiological temperature was also prepared. The obtained PTX-micelles in thermosensitive Fu-hydrogel (PTX-micelles–Fu-hydrogel) composite is a free-flowing sol at ambient temperature and rapidly turned into a non-flowing gel at physiological temperature. In addition, the results of cytotoxicity, hemolytic study, and acute toxicity evaluation suggested that the PTX-micelles–Fu-hydrogel was non-toxic and biocompatible. In vitro release behaviors of PTX-micelles–Fu-hydrogel indicated that both PTX and Fu have a sustained release behavior. Furthermore, intraperitoneal application of PTX-micelles–Fu-hydrogel effectively inhibited growth and metastasis of CT26 peritoneal carcinomatosis in vivo (p < 0.001), and induced a stronger antitumor effect than that of Taxol® plus Fu (p < 0.001). The pharmacokinetic study indicated that PTX-micelles–Fu-hydrogel significantly increased PTX and Fu concentration and residence time in peritoneal fluids compared with Taxol® plus Fu group. Thus, the results suggested the micelles–hydrogel DDDS may have great potential clinical applications.