The synthesis and characterization of a new protein–polymer conjugate composed of β lactoglobulin A (βLG A) and poly(ethylene glycol) PEG is described. βLG A was selectively modified to self‐assemble by super‐charging via amination or succinylation followed by conjugation with PEG. An equimolar mixture of the oppositely charged protein–polymer conjugates self‐assemble into spherical capsules of 80–100 nm in diameter. The self‐assembly proceeds by taking simultaneous advantage of the amphiphilicity and polyelectrolyte nature of the protein–polymer conjugate. These protein–polymer capsules or proteinosomes are reminiscent of protein capsids, and are capable of encapsulating solutes in their interior. We envisage this approach to be applicable to other globular proteins.