Comprehensively regulating the TME is now regarded as a promising approach for cancer treatment. Herein, a novel “three-in-one” effect is presented for simultaneously killing tumor cells, inhibiting the EMT of CAFs, and improving immune responses. In this study, bortezomib (BTZ) is selected for the treatment of breast cancer; it has multiple pharmacological mechanisms for killing tumor cells through the NF-κB signaling pathway, inhibiting the activity of CAFs by activating caspase-3, and enhancing the function of CD8+ T cells by regulating the expression of immune-stimulating factors. To improve the druggability of BTZ in solid tumors, BTZ-loaded lipid/glycocholic acid mixed micelles (BTZ-LGs) were prepared to verify the “three-in-one” effect in killing tumor cells, inhibiting CAFs, and improving immune responses. In the present work, BTZ-LGs were verified to show enhanced in vitro cytotoxicity in both 4T1 cells and 4T1/NIH3T3 co-cultured cells, as well as a superior in vivo treatment effect in different tumor-bearing mouse models. Additionally, BTZ-LGs could regulate the expression of α-SMA, caspase-3, E-cadherin, and N-cadherin, indicating their good inhibiting ability on both tumor cells and CAFs. More importantly, immunological analysis revealed that BTZ-LGs promoted the expression of the immunostimulatory factor IL-2 in tumor tissues, activated anti-tumor T cells, and overcame tumor-induced CD8+ T cell dysfunction. All these findings suggest that BTZ-LGs can achieve a “three-in-one” effect in terms of killing tumor cells, suppressing CAFs, and improving immune responses. This simple and multi-effective therapeutic strategy offers a promising approach for cancer therapy.