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Caffeine is a promising drug for the management of neurodegenerative diseases such as Parkinson’s disease (PD), demonstrating neuroprotective properties that have been attributed to its interaction with the basal ganglia adenosine A2A receptor (A2AR). However, the doses needed to exert these neuroprotective effects may be too high. Thus, it is important to design novel approaches that selectively deliver this natural compound to the desired target. Docosahexaenoic acid (DHA) is the major omega-3 fatty acid in the brain and can act as a specific carrier of caffeine. Furthermore, DHA displays properties that may lead to its use as a neuroprotective agent. In the present study, we constructed a novel bivalent ligand covalently linking caffeine and DHA and assessed its pharmacological activity and safety profile in a simple cellular model. Interestingly, the new bivalent ligand presented higher potency as an A2AR inverse agonist than caffeine alone. We also determined the range of concentrations inducing toxicity both in a heterologous system and in primary striatal cultures. The novel strategy presented here of attaching DHA to caffeine may enable increased effects of the drug at desired sites, which could be of interest for the treatment of PD.