Methylprednisolone (MP) is often used in the treatment of various kidney diseases, but overcoming the systemic side effects caused by its nonspecific distribution in the body is a challenge. This article reports the design, synthesis, and renal targeting of methylprednisolone–lysozyme (MPS–LZM). This conjugate was obtained by covalently linking MP with the renal targeting carrier LZM through a linker containing an ester bond, which could utilize the renal targeting of LZM to deliver MP to renal proximal tubular epithelial cells and effectively release MP. The reaction conditions for the preparation of the conjugate were mild, and the quality was controllable. The number of drug payloads per LZM was 1.1. Cell-level studies have demonstrated the safety and endocytosis of the conjugate. Further pharmacokinetic experiments confirmed that, compared with that of free MP, the conjugate increased the renal exposure (AUC_0–t) of active MP from 17.59 to 242.18 h*ng/mL, and the targeting efficiency improved by approximately 14 times. Tissue and organ imaging further revealed that the conjugate could reach the kidneys quickly, and fluorescence could be detected in the kidneys for up to 12 h. This study preliminarily validates the feasibility of a renal targeting design strategy for MPS–LZM, which is expected to provide a new option for improving kidney-specific distribution of glucocorticoids.