Plant proteins have gained significant attention over animal proteins due to their low carbon footprint, balanced nutrition, and high sustainability. These attributes make plant protein nanocarriers promising for applications in drug delivery, nutraceuticals, functional foods, and other areas. Zein, a major by-product of corn starch processing, is inexpensive and widely available. Its unique self-assembly characteristics have led to its extensive use in various food and drug systems. Zein’s functional tunability allows for excellent performance in loading and transporting bioactive substances. Lutein offers numerous bioactive functions, such as antioxidant and vision protection, but suffers from poor chemical stability and low bioavailability. Nano-embedding technology can construct various zein-loaded lutein nanodelivery systems to address these issues. This review provides an overview of recent advances in the construction of zein-loaded lutein nanosystems. It discusses the fundamental properties of these systems; systematically introduces preparation techniques, structural characterization, and functional properties; and analyzes and predicts the target-controlled release and bioaccessibility of zein-loaded lutein nanosystems. The interactions and synergistic effects between Zein and lutein in the nanocomplexes are examined to elucidate the formation mechanism and conformational relationship of zein–lutein nanoparticles. The physical and chemical properties of Zein are closely related to the molecular structure. Zein and its modified products can encapsulate and protect lutein through various methods, creating more stable and efficient zein-loaded lutein nanosystems. Additionally, embedding lutein in Zein and its derivatives enhances lutein’s digestive stability, solubility, antioxidant properties, and overall bioavailability.