Commencing with the breakdown of the intestinal barrier, various pathogenic factors, such as dysbiosis of the gut microbiota, harmful inflammatory cytokines, and immune system imbalance, collectively contribute to the development of colitis. Numerous interventions focusing on single factors have been developed to provide short‐term therapeutic benefits, but the continued existence of unresolved pathogenic factors can lead to disease exacerbation. Here we have designed a multicomponent system—inulin microspheres encapsulating selenium‐containing nanomicelles, aiming to tackle the multiple factors associated with colitis. This micro–nano drug delivery platform achieves sequential release of drugs in the inflamed colon, with each component of the system functioning independently and jointly. The outer layer of inulin provides nutrients for probiotics. The inner core comprises selenocystamine and 3‐oxolithocholic acid, which polarize macrophages towards an anti‐inflammatory phenotype and regulate adaptive immunity by inhibiting TH17‐cell differentiation, respectively. In an acute colitis mouse model, this therapeutic system ameliorates colonic inflammation, enhances the abundance of gut microbiota, and modulates the mucosal immune system, showing potential in preventing colitis.