Electrospinning is the leading technology to fabricate fibrous scaffolds that mimic the architecture of the extracellular matrix of natural tissues. In order to improve the biological response, a consolidated trend involves the blending of synthetic polymers with natural proteins to form protein-rich fibers that include selected biochemical cues able to more actively support in vitro cell interaction. In this study, we compared protein-rich fibers fabricated via electrospinning by the blending of poly ε-caprolactone (PCL) with three different proteins, i.e., gelatin, zein, and keratin, respectively. We demonstrated that the peculiar features of the proteins used significantly influence the morphological properties, in terms of fiber size and distribution. Moreover, keratin drastically enhances the fiber hydrophilicity (water contact angle equal to 44.3° ± 3.9°) with positive effects on cell interaction, as confirmed by the higher proliferation of human mesenchymal stem cells (hMSC) until 7 days. By contrast, gelatin and zein not equally contribute to the fiber wettability (water contact angles equal to 95.2° ± 1.2° and 76.3° ± 4.0°, respectively) due to morphological constraints, i.e., broader fiber diameter distribution ascribable to the non-homogeneous presence of the protein along the fibers, or chemical constrains, i.e., large amount of non-polar amino acids. According to in vitro experimental studies, which included SEM and confocal microscopy analyses and vitality assay, we concluded that keratin is the most promising protein to be combined with PCL for the fabrication of biologically instructive fibers for in vitro applications.