Although "closed-loop" smart insulin delivery systems have been extensively investigated, the majority of them suffer from low insulin loading efficiency and slow glucose response. Here, we constructed a novel nanocomplex (NC), which was prepared by electrostatic interaction between negatively charged insulin prodrug nanoparticles (NPs) and positively charged polycaprolactone-polyethylenimine (PCL-PEI) micelles. The insulin prodrug was linked to acetalated dextran (AD) via borate ester bonds to form IAD NPs, and glucose oxidase (GOx) was encapsulated in PCL-PEI micelles. The NC was negatively charged with a high insulin grafting rate (0.473 mg/mg), and in vitro experiments revealed that IAD was sensitive to hyperglycemia and H2O2, whereas GOx significantly improved the response to glucose by altering the microenvironment to promote sustained insulin release. Furthermore, compared with free insulin and IAD NPs, subcutaneously injected NCs in diabetic rats had long-term hypoglycemic effects, showing excellent biocompatibility in vitro and in vivo, which had good potential in insulin self-regulation delivery.