In this study we developed a new drug delivery system for olanzanpine comprised of drug-loaded lipid-core nanocapsules incorporated in a thermosensitive hydrogel, intended to sustain the drug release. Firstly, olanzapine, a hydrophobic drug, was loaded in poly(epsilon-caprolactone) lipid core nanocapsules prepared by interfacial deposition of preformed polymer. The effects of the presence of ethanol and the amounts of sorbitan monostearate and medium-chain triglycerides on the particle size, zeta potential, polydispersity index, presence of microparticles and encapsulation efficiency were investigated using a 2(3) factorial design. The optimized nanocapsules were incorporated into a hydrophilic polymer (Poloxamer 407) dispersion in order to obtain a thermosensitive gel. The formulation containing 0.077 g of sorbitan monostearate, 0.22 ml of medium-chain triglycerides, 3 ml of ethanol and 18% of the thermosensitive polymer was selected according to the physicochemical properties. The rheology and release profiles of the mixed hydrophobic and hydrophilic delivery system were successfully characterized and revealed its great potential for the administration of hydrophobic drugs such as olanzapine with sustained in situ drug release.