In recent years, protein-based nanocarriers have attracted widespread attention for their excellent biocompatibility and superior delivery efficiency. However, single protein carriers suffer from some issues, such as high environmental sensitivity, insufficient targeting ability, and poor in vivo circulatory stability. The latest research progress of protein-based nanodelivery systems was analyzed, and common construction strategies were summarized and categorized, such as self-assembly technology, flash nanoprecipitation method, and pH-driven method; the advantages and limitations of different methods in particle size control and encapsulation efficiency were clarified. The coupling mechanisms, preparation methods, and application advantages of the composite systems composed of proteins and polysaccharides, inorganic nanomaterials, lipids, and polymers were discussed, and a prospect for the future research directions that can be further explored regarding protein-based composite delivery systems was given.