Nanofibrous polymeric materials, combined with protein therapeutics, play a significant role in biomedical and pharmaceutical applications. However, the upload of proteins into nanofibers with a high yield and controlled release has been a challenging issue. Here, we report the in situ loading of a model protein (bovine serum albumin) into hydrophilic poly(vinyl alcohol) nanofibers via ice-templating, with a 100% protein drug loading efficiency. These protein-loaded nanofibers were further coated by polydopamine in order to improve the nanofiber stability and achieve a controlled protein release. The mass ratio between poly(vinyl alcohol) and bovine serum albumin influenced the percentage of proteins in composite nanofibers and fiber morphology. More particles and less nanofibers were formed with an increasing percentage of bovine serum albumin. By varying the coating conditions, it was possible to produce a uniform polydopamine coating with tunable thickness, which acted as an additional barrier to reduce burst release and achieve a more sustained release profile.