Lactoferrin (Lf) is a globular glycoprotein found mainly in milk. It has a very high affinity for iron(III) ions, and its fully saturated form is called holoLf. The antimicrobial, antiviral, anticancer, and immunomodulatory properties of Lf have been studied extensively for the past two decades. However, to demonstrate therapeutic benefits, Lf has to be efficiently delivered to the intestinal tract in its structurally intact form. This work aimed to optimize the encapsulation of holoLf in a system based on the versatile Eudragit® RS polymer to protect Lf against the proteolytic environment of the stomach. Microparticles (MPs) with entrapped holoLf were obtained with satisfactory entrapment efficiency (90–95%), high loading capacity (9.7%), and suitable morphology (spherical without cracks or pores). Detailed studies of the Lf release from the MPs under conditions that included simulated gastric or intestinal fluids, prepared according to the 10th edition of the European Pharmacopeia, showed that MPs partially protected holoLf against enzymatic digestion and ionic iron release. The preincubation of MPs loaded with holoLf under conditions simulating the stomach environment resulted in the release of 40% of Lf from the MPs. The protein released was saturated with iron ions at 33%, was structurally intact, and its iron scavenging properties were preserved.