Self-assembled prodrugs forming nanoaggregates are a promising approach to enhance the antitumor efficacy and to reduce the toxicity of anticancer drugs. To achieve this goal, doxorubicin was chemically conjugated to d-α-tocopherol succinate through an amide bond to form N-doxorubicin-α-d-tocopherol succinate (N-DOX-TOS). The prodrug self-assembled in water into 250 nm nanostructures when stabilized with d-α-tocopherol poly(ethylene glycol) 2000 succinate. Cryo-TEM analysis revealed the formation of nanoparticles with a highly ordered lamellar inner structure. NMR spectra of the N-DOX-TOS nanoparticles indicated that N-DOX-TOS is located in the core of the nanoparticles while PEG chains and part of the tocopherol are in the corona. High drug loading (34% w/w) and low in vitro drug release were achieved. In vitro biological assessment showed significant anticancer activity and temperature-dependent cellular uptake of N-DOX-TOS nanoparticles. In vivo, these nanoparticles showed a greater antitumor efficacy than free DOX. N-DOX-TOS nanoparticles might have the potential to improve DOX-based chemotherapy.