Cancer has been a serious threat to human health. Among drug delivery carriers, protein nanoparticles are unique because of their mild and environmentally friendly preparation methods. They also inherit desired characteristics from natural proteins, such as biocompatibility and biodegradability. Therefore, they have solved some problems inherent to inorganic nanocarriers such as poor biocompatibility. Also, the surface groups and cavity of protein nanoparticles allow for easy surface modification and drug loading. Besides, protein nanoparticles can be combined with inorganic nanoparticles or contrast agents to form multifunctional theranostic platforms. This review introduces representative protein nanoparticles applicable in cancer theranostics, including virus-like particles, albumin nanoparticles, silk protein nanoparticles, and ferritin nanoparticles. It also describes the common methods for preparing them. It then critically analyzes the use of a variety of protein nanoparticles in improved cancer imaging and therapy.