The present invention relates to a multi-domain vesicle comprising an immunoactive material, a production method for the multi-domain vesicle and an immunomodulatory composition comprising the multi-domain vesicle. According to one aspect of the present invention, the multi-domain vesicle comprises: at least two liposomes making contact and connected with each other; and a multi-domain vesicle outer wall surrounding the at least two liposomes. The multi-domain vesicle is formed from an oil phase and an aqueous phase, wherein: the oil phase comprises a first immunomodulatory material and a fluid oil; the oil phase forms a membrane of the liposomes, and the multi-domain vesicle outer wall; the aqueous phase comprises a second immunomodulatory material; the aqueous phase is an internal aqueous phase of the membrane of the liposomes, and an outer aqueous phase of the membrane of the liposomes; the first immunomodulatory material is a fat-soluble immunoactive material; the second immunomodulatory material is a water-soluble immunoactive material; and the fluid oil increases the structural stability of the at least two liposomes making contact and connected with each other.