The functionality of porous three-dimensional (3D) magnesium phosphate (MgP) scaffold was investigated for the development of a novel protein delivery system and biomimetic bone tissue engineering scaffold. This enhancement can be achieved by incorporation of hydroxyapatite (HA)-containing polymeric microspheres (MSs) into a bulk MgP matrix, and a paste-extruding deposition (PED) system. In this work, the amount of MS and HA was precisely controlled when manufacturing MS-embedded MgP (MS/MgP) composite scaffolds. The main influence was researched in terms of in vitro lysozyme-release, in vitro biodegradation, mechanical properties, and in vitro calcification. The controlled release of lysozyme was indicated, while showing graded release patterns according to HA content. The composite scaffolds degraded gradually with MS content and degradation time. Due to the effect of HA inclusion, the higher HA-containing MS/MgP scaffolds could, not only delay the biodegradation process but also, compensate for the possible loss of mechanical properties. In this regard, it is reasonable to confirm the inverse relationship between biodegradation and corresponding compressive properties. In order to encourage bioactivity and osteoconductivity, the MS/MgP composite scaffolds were subjected to simulated body fluid treatment. Calcium deposition was, in turn, improved with increasing MS and HA content over time. This quantitative result was also proved using morphological and elemental analysis. In summary, a significant transformation of a monolithic MgP scaffold was directed toward a multifunctional bone tissue engineering scaffold equipped with controlled protein delivery, biodegradability, and bioactivity.