Due to their excellent emulsification, biocompatibility, and biological activity, proteins are widely used as microcapsule wall materials for encapsulating drugs, natural bioactive substances, essential oils, probiotics, etc. In this review, we summarize the protein-based microcapsules, discussing the types of proteins utilized in microcapsule wall materials, the preparation process, and the main factors that influence their properties. Additionally, we conclude with examples of the vital role of protein-based microcapsules in advancing the food industry from primary processing to deep processing and their potential applications in the biomedical, chemical, and textile industries. However, the low stability and controllability of protein wall materials lead to degraded performance and quality of microcapsules. Protein complexes with polysaccharides or modifications to proteins are often used to improve the thermal instability, pH sensitivity, encapsulation efficiency and antioxidant capacity of microcapsules. In addition, factors such as wall material composition, wall material ratio, the ratio of core to wall material, pH, and preparation method all play critical roles in the preparation and performance of microcapsules. The application area and scope of protein-based microcapsules can be further expanded by optimizing the preparation process and studying the microcapsule release mechanism and control strategy.