Functional food development faces a considerable hurdle due to the poor bioavailability of incorporated bioactive compounds, which are caused by poor aqueous solubility, rapid release, low circulation time, physical and chemical instability, and cytotoxicity of bioactive compounds. Encapsulation emerges as a pivotal strategy to address this challenge by protecting bioactives. Protein as a wall material for encapsulation plays a significant role due to its biocompatibility, non-toxicity, surface activity, amphiphilic nature, and diverse range of functional groups. Researchers are currently exploring the co-encapsulation of multiple compounds to earn synergistic health benefits, enhanced functionality, and cost-effectiveness but face several challenges due to the diverse solubilities and chemical properties of bioactives. Proteins are crucial as encapsulation wall materials with their nutritional value and abundant availability. The diversity arising from the 20 different amino acids allows proteins to interact effectively with various compounds through various interactions. Emulsions, nano, micro solid particles, and gels are the most common protein-based fabricated systems used for encapsulation and co-encapsulation. However, as delivery systems, proteins face some drawbacks and challenges, such as rapid release and diffusion, low loading capacity, and instability in gastric environments. This review critically explores protein-based co-encapsulation studies, highlighting research gaps and proposing future directions in this field.