To meet the demand for the separation of specific substances, the construction of porous composite aerogels with a high specific surface area and a strong adsorption capacity is still a challenge. Herein, a sodium alginate/bentonite composite aerogel was efficiently prepared through supercritical fluid drying. The aerogel’s volume shrank less during supercritical drying, maintaining its original three-dimensional mesh structure. The resulting aerogel had a large specific surface area (445 m2/g), a low density (0.059 g/cm3), and a large pore volume (3.617 cm3/g). Due to the fixation and intercalation effects, bentonite was uniformly dispersed in the sodium alginate matrixes. The adsorption of lysozyme by the composite aerogel was evaluated, and the results showed that the optimal adsorption pH was 8 when the pH of the phosphoric acid buffer solution was between pH = 5 and 8.5. The time for adsorption to reach equilibrium was 8 h. The adsorption capacity increased with the increase in bentonite content, and when the initial concentration of lysozyme was from 0.2 to 1.2 g/L, the adsorption capacity first increased and then stabilized, and the maximum adsorption amount was 697 mg/g. The adsorption behavior was simulated in the isothermal region, and the linear correlation coefficient of Langmuir isothermal adsorption fitting was found to be 0.997. Thus, this composite aerogel with strong adsorption capacity can be used as a good alternative to enzymatic adsorbents or immobilized materials.