The simultaneous or sequential delivery of multiple therapeutic active principles to a specific target is one of the main challenges of nanomedicine. This goal requires the construction of complex devices often extremely time and cost consuming. Supramolecular self-assemblies, with building blocks of different nature, each providing a specific function to the final construct, can combine a facile synthetic route with a high tunability and structural control. In this study we provide the proof-of-principle of a drug delivery system, DDS, constituted of (i) liposomes, providing a fully biocompatible lipid scaffold suitable to host both hydrophobic and hydrophilic drugs; (ii) a double-stranded DNA conjugated with a cholesteryl unit that spontaneously inserts into the lipid membrane; and (iii) hydrophobic and hydrophilic superparamagnetic iron oxide nanoparticles (SPIONs) embedded inside the lipid membrane of liposomes or connected to the DNA, respectively. Upon application of an alternating magnetic field, the SPIONs can trigger, through thermal activation, the release of a DNA strand or of the liposomal payload, depending on the frequency and the application time of the field, as proved by both steady-state and time-resolved fluorescence studies. This feature is due to the different localization of the two kinds of SPIONS within the construct and demonstrates the feasibility of a multifunctional DDS, built up from self-assembly of biocompatible building blocks.