Proteins have been studied as therapeutic agents for treatment of various human diseases. However, the delivery of protein drugs into the body is challenging. In this review, we summarize and highlight progress in developing affinity hydrogels (i.e., hydrogels functionalized with protein-bound ligands) for controlled protein release. Contrary to traditional hydrogels, which release proteins mainly through diffusion, affinity hydrogels stably retain and sustainably release proteins based mainly on diffusion coupled with a binding reaction. These hydrogels can also be modulated to release proteins in response to defined molecules in a triggered manner. Future research efforts may focus on the development of intelligent affinity hydrogels to mimic the properties of human tissues in sensing different environmental stimuli for on-demand release of single or multiple proteins (i.e., biomimetic intelligence for protein delivery).