Lipid–polymer hybrid nanoparticles (LPNs) have emerged as a potent therapeutic nano-carrier alternative to liposomes and polymeric nanoparticles. In this work, lipid–polymer hybrid nanoparticles were prepared using polycaprolactone, phosphatidylcholine: glyceryl tripalmitate mixture and lysozyme as the polymer, lipids and model protein, respectively. Uniform nanoparticles with about 100 nm in size were obtained using the modified emulsification solvent evaporation method. The results indicated that LPNs showed higher encapsulation efficiency compared with naked polycaprolactone nanoparticles. According to the results of bioactivity assay, 63.86% bioactive lysozyme was recovered from the LPNs. These results indicated that modification of polycaprolactone nanoparticles with lipids could considerably increase the drug-delivery efficiency and LPNs had potential in the delivery of peptides and proteins.