Protein particles have been reported as the potential carriers for the co-encapsulation of bioactive components. In this study, lysozyme, a basic protein, was used to simultaneously encapsulate folic acid and α-tocopherol at pH 4.0. The encapsulation efficiency and loading capacity of folic acid or α-tocopherol increased with its respective concentration. Folic acid had no influence on the encapsulation of α-tocopherol. However, the encapsulation of folic acid was improved by α-tocopherol below 40 μg/mL but reduced by α-tocopherol at higher concentrations. The encapsulation by lysozyme shielded folic acid, α-tocopherol, or both partially from the attack of 2,2′-azino-bis-3-ethylbenzthiazoline-6-sulphonic acid (ABTS) radical cation. No masking effect of lysozyme encapsulation on α-tocopherol was found in DPPH antioxidant activity assay. Furthermore, the DNA coating was used to improve the dispersion of lysozyme with folic acid and α-tocopherol. The lysozyme/DNA particles with folic acid and α-tocopherol showed a homogenous size distribution of 180–220 nm with ζ-potential values between −33 and −36 mV. The release and bioaccessibility of folic acid in lysozyme/DNA with α-tocopherol were similar to that of folic acid alone, while the release of α-tocopherol was delayed and its bioaccessibility was improved by encapsulation in lysozyme/DNA with folic acid. The data gathered here would provide guidance for the use of lysozyme-based co-encapsulating carriers in the development of functional foods.