The complexation of a globular protein, β-lactoglobulin (BLG), and an anionic surfactant sodium dodecyl sulfate (SDS) in aqueous media was investigated using capillary zone electrophoresis, electrophoretic, static, and dynamic light scattering, and small-angle X-ray scattering in a considerably high protein concentration range (0.27 mM < C < 3 mM). On increasing the molar concentration C of the surfactant, cooperative binding of SDS to BLG starts at C/C ≈ 1; the BLG-SDS complex consists mainly of the BLG dimer and approximately 20 SDS molecules, where BLG takes a compact conformation similar to that of the native BLG up to C/C ≈ 20. At C/C higher than 30, the BLG dimer in the BLG-SDS complex dissociates into a unimer, but the dissociated BLG unimer still takes a compact conformation at least at 30 < C/C < 65.