The anti‐inflammatory effect of α‐melanocyte‐stimulating hormone (α‐MSH) in the central nervous system (CNS) has been reported for 40 years. However, the short half‐life of α‐MSH limits its clinical applications. The previous study has shown that a fusion protein comprising protein transduction domain (PTD), human serum albumin (HSA), and α‐MSH extends the half‐life of α‐MSH, but its anti‐inflammatory effect is not satisfactory. In this study, optimization of the structures of fusion proteins was attempted by changing the linker peptide between HSA and α‐MSH. The optimization resulted in the improvement of various important characteristics, especially the stability and anti‐inflammatory bioactivity, which are important features in protein medicines. Compared to the original linker peptide L0, the 5‐amino‐acid rigid linker peptide L6 (PAPAP) is the best option for further investigation due to its higher expression (increased by 6.27%), improved purification recovery (increased by 60.8%), excellent thermal stability (Tm = 83.5°C) and better inhibition in NF‐κB expression (increased by 81.5%). From this study, the significance of the design of linker peptides in the study of structure–activity relationship of fusion proteins was proved.