Rheumatoid arthritis (RA) is an autoimmune disorder. It causes inflammation, swelling, and pain in the joints of the human body. Overexpressed matrix metalloproteinases (MMPs) at the inflammatory sites of RA are a target in the construction of inflammation-responsive drug delivery vehicles for enhancing the therapeutic effect of anti-inflammatory drugs in the treatment of RA. In this paper, we report MMP-responsive PEGylated lipid nanoparticles through the co-assembly of triglycerol monostearate (TGMS) and 1,2-distearoyl–glycero-3-phospho-ethanolamine-poly(ethyleneglycol) (DSPE-PEG) in which the ester bond of TGMS is cleavable by MMPs and the PEG chain provides a stealth layer. The lipid nanoparticles show high biocompatibility, extended blood circulation, and preferential distribution in the inflammatory joints of RA. The loaded dexamethasone (Dex) can be rapidly released from the lipid nanoparticles in response to MMPs. After being intravenously administered to arthritic rats, Dex-loaded MMP-responsive PEGylated lipid nanoparticles significantly reduce the degree of joint swelling and inhibit the production of TNF-α and IL-1β in joint tissues. These results demonstrate that MMP-responsive PEGylated lipid nanoparticles are a smart drug vehicle for the treatment of RA with improved therapeutic efficacy.