Extreme-mass-ratio inspiral (EMRI) is an important gravitational-wave (GW) source and it normally consists of one stellar-mass black hole (BH) whirling closely around a supermassive black hole (SMBH). In this Letter, we demonstrate that the small body, in fact, could be a BH binary (BHB). Previous numerical scatting experiments have shown that SMBHs can tidally capture BHBs to bound orbits. Here we investigate the subsequent long-term evolution. We find that those BHBs with a semi-major axis of $alesssim5times10^{-3}$ AU can be captured to tightly-bound orbits such that they will successfully inspiral towards the central SMBHs without being scattered away by stellar relaxation processes. We estimate that these binary-EMRIs (b-EMRIs) could constitute at most $10%$ of the EMRI population. Moreover, we show that when the eccentricity of a b-EMRI drops to about $0.85$, the two stellar BHs will quickly merge due to the tidal perturbation by the SMBH. The high-frequency ($sim10^2$ Hz) GWs generated during the coalescence coincide with the low-frequency ($sim10^{-3}$ Hz) waves from the b-EMRI, making this system an ideal target for future multi-band GW observations.
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