In this study, nanoparticles prepared by the heat-induced self-assembly of bovine serum albumin-dextran conjugates (BSA-DX) were utilized as an effective delivery system for the immunoregulatory peptide Gln-Leu-Asn-Trp-Asp (QLNWD) from Meretrix meretrix. The effects of dry-heating duration on the fabrication and characteristics of glycoprotein nanoparticles (GBA NPs) were investigated. Stable GBA NPs (110.84 nm) were obtained after 9 h of dry-heating. Depending on the addition sequence of QLNWD, the QLNWD-loaded nanoparticles were categorized into two types: pre-loading and post-loading. The two strategies were evaluated based on physicochemical characterization, colloidal stability, and RAW264.7 macrophage uptake. Results showed that upon QLNWD incorporation, both pre-loading NPs and post-loading NPs exhibited spherical morphology, with particle sizes decreasing to 105.51 nm and 94.27 nm, respectively. The encapsulation efficiency of pre-loading NPs for QLNWD was higher (87.74%), and the co-localization ability between post-loading NPs and QLNWD was stronger (Pearson’s correlation coefficient = 0.95). In vitro simulated gastrointestinal digestion experiments showed that QLNWD bioaccessibility increased to 47.5% and 42.7% for pre-loaded and post-loaded NPs, respectively. Compared to free QLNWD, NP encapsulation significantly enhanced the uptake of QLNWD by macrophages. Thus, GBA NPs, particularly those prepared by the pre-loading method, are considered promising delivery systems for marine bioactive peptides.