The topical administration of a drug compound remains the first choice for the treatment of many local skin ailments. Many skin diseases can be treated by applying the active formulation directly to the skin, but unfortunately some drugs are unable to overcome the stratum corneum and exert their pharmacological action. An example is thymoquinone, a naturally derived drug obtained from Nigella sativa L. and potentially effective in the treatment of inflammatory and oxidative skin conditions. Since its physico-chemical properties are not suitable for overcoming the stratum corneum, we wanted to circumvent the problem by proposing new lipid-based nanovesicles called “oleoethosomes”, made up of naturally derived ingredients, for its delivery. Among several formulations of oleoethosomes, the sample made up of 2% (w/w) oleic acid:PL90G 1:1 (molar ratio), and ethanol 15% showed the best physico-chemical characteristics and above all it showed the capacity to contain a suitable amount of thymoquinone (2 mg/ml). The formulation was tested in vitro on stratum corneum and viable epidermis membranes confirming its ability to induce the passage of thymoquinone through the human stratum corneum and to act as a permeation enhancer. In fact, it showed thymoquinone permeation values of 22.63 ± 1.49% regarding the applied drug amount. Oleoethosomes were compared with oleosomes, another kind of naturally derived nanosystems but free of ethanol. The experimental data confirmed that ethanol was an important component that enhanced the activity of the oleoethosomes when tested on the skin of healthy volunteers. The thymoquinone-loaded oleoethosome treatment demonstrated a significantly greater extent of anti-inflammatory activity than the treatment with thymoquinone-loaded oleosomes or the conventional dosage form of the drug. These in vivo results confirmed the synergic effect between oleic acid and ethanol on the lipid and protein compartments of the outermost skin layer, thus promoting a greater penetration capacity.