The recent focus in the development of novel nanosystems for biomedical applications lays firmly on their interactions with biomolecules. Thermodynamic parameters driving the interaction between nanoparticles and proteins provide insights into complex processes at bio/nanointerface. The present work aims to investigate the binding mechanisms and the dominant contributions that determine the adsorption processes during the interactions of a model protein, that is, bovine serum albumin, with a new type of drug delivery systems, Vitamin E/sphingomyelin nanoemulsions, plain and coated with polyethylene glycol, and d‐ɑ‐tocopheryl polyethylene glycol succinate. The binding parameters (binding constant, binding stoichiometry, enthalpy, Gibbs energy, and entropy changes of binding) are evaluated by the isothermal titration calorimetry with a MicroCaliTC200 equipment. The effect of nanoemulsions on the protein stability is examined by measuring the thermodynamic parameters for the protein's unfolding (heat capacity; enthalpy, entropy, and free energy changes) with a NanoDSC (TA Instrument) apparatus. The thermodynamic profile shows for all compositions an entropy‐driven interaction dominated by hydrophobic forces due to the rearrangements/displacement of the surrounding water molecules, while maintaining the native conformation of the protein. All the information acquired by thermodynamic approach may significantly enhance the knowledge with special focus on PEGylated nanoemulsions used for biomedical applications.