Introducing genes into drug-delivery system for a combined therapy has become a promising strategy for cancer treatment. However, improving the in vivo therapy effect resulted from the high delivery efficiency, low toxicity, and good stability in the blood remains a challenge. For this purpose, the supramolecular inclusion was considered to construct a high-efficiency drug and gene co-delivery system in this work. The oligoethylenimine-conjugated β-cyclodextrin (β-CD-PEI600) and benzimidazole-modified four-arm-polycaprolactone-initiated hyperbranched polyglycerol (PCL-HPG-BM) were synthesized as the host and guest molecules, respectively, and then the co-delivery carrier of PCL-HPG-PEI600 was formed from the pH-mediated inclusion interaction between β-CD and BM. PCL-HPG-PEI600 showed the improved drug (doxorubicin, DOX) and gene (MMP-9 shRNA plasmid, pMMP-9) delivery ability in vivo, and their cellular uptake and intracellular delivery were investigated. Particularly, PCL-HPG-PEI600 showed excellent pMMP-9 delivery ability with significantly higher transfection efficiency than PEI25k due to its excellent serum resistance. For the combined therapy to breast cancer MCF-7 tumor, the co-delivery system of PCL-HPG-PEI600/DOX/pMMP-9 resulted in a much better inhibition effect on MCF-7 cell proliferation and migration in vitro as well as the suppression effect on MCF-7 tumors in vivo compared to those of single DOX or pMMP-9 formulation used. Moreover, PCL-HPG-PEI600 displayed nontoxicity and excellent blood compatibility, suggesting a promising drug and gene co-delivery carrier in combined therapy to tumors.