Targeted drug delivery is a broadly applicable approach for cancer therapy. However, the nanocarrier-based targeted delivery system suffers from batch-to-batch variation, quality concerns and carrier-related toxicity issues. Thus, to develop a carrier-free targeted delivery system with nanoscale characteristics is very attractive. Here, a novel targeting small molecule nanodrug self-delivery system consisting of targeting ligand and chemotherapy drug was constructed, which combined the advantages of small molecules and nano-assemblies together and showed excellent targeting ability and long blood circulation time with well-defined structure, high drug loading ratio and on-demand drug release behavior. As a proof-of-concept, lactose (Lac) and doxorubicin (DOX) were chosen as the targeting ligand and chemotherapy drug, respectively. Lac and DOX were conjugated through a pH-responsive hydrazone group. For its intrinsic amphiphilic property, Lac-DOX conjugate could self-assemble into nanoparticles in water. Both in vitro and in vivo assays indicated that Lac-DOX nanoparticles exhibited enhanced anticancer activity and weak side effects. This novel active targeting nanodrug delivery system shows great potential in cancer therapy.