The encapsulation of bioactive compounds using proteins as wall materials has emerged as an effective strategy to enhance their stability, bioavailability, and controlled release. Proteins offer unique functional properties, including amphiphilic behavior, gel-forming ability, and interactions with bioactives, making them ideal candidates for encapsulation. Animal-derived proteins, such as whey and casein, exhibit superior performance in stabilizing lipophilic compounds, whereas plant proteins, including soy and pea protein, demonstrate greater affinity for hydrophilic bioactives. Advances in protein modification and the formation of protein–polysaccharide complexes have further improved encapsulation efficiency, particularly for heat- and pH-sensitive compounds. This review explores the physicochemical characteristics of proteins used in encapsulation, the interactions between proteins and bioactives, and the main encapsulation techniques, including spray drying, complex coacervation, nanoemulsions, and electrospinning. Furthermore, the potential applications of encapsulated bioactives in functional foods, pharmaceuticals, and nutraceuticals are discussed, highlighting the role of emerging technologies in optimizing delivery systems. Understanding the synergy between proteins, bioactives, and encapsulation methods is essential for developing more stable, bioavailable, and sustainable functional products.