The folding/unfolding behavior of proteins (enzymes) in confined space is important for their properties and functions, but such a behavior remains largely unexplored. In this article, we reported our finding that lysozyme and a double hydrophilic block copolymer, methoxypoly(ethylene glycol)(5K)-block-poly(L-aspartic acid sodium salt)io (mPEG(5K)-b-PLD10), can form a polyelectrolyte complex micelle with a particle size of similar to 30 nm, as verified by dynamic light scattering and transmission electron microscopy. The unfolding and refolding behaviors of lysozyme molecules in the presence of the copolymer were studied by microcalorimetry and circular dichroism spectroscopy. Upon complex formation with mPEG(5K)-b-PLD10, lysozyme changed from its initial native state to a new partially unfolded state. Compared with its native state, this copolymer-complexed new folding state of lysozyme has different secondary and tertiary structures, a decreased thermostability, and significantly altered unfolding/refolding behaviors. It was found that the native lysozyme exhibited reversible unfolding and refolding upon heating and subsequent cooling, while lysozyme in the new folding state (complexed with the oppositely charged PLD segments of the polymer) could unfold upon heating but could not refold upon subsequent cooling. By employing the heating cooling reheating procedure, the prevention of complex formation between lysozyme and polymer due to the salt screening effect was observed, and the resulting uncomplexed lysozyme regained its proper unfolding and refolding abilities upon heating and subsequent cooling. Besides, we also pointed out the important role the length of the PLD segment played during the formation of micelles and the monodispersity of the formed micelles. Furthermore, the lysozyme-mPEG(5K)-b-PLD10 mixtures prepared in this work were all transparent, without the formation of large aggregates or precipitates in solution as frequently observed in other protein polyelectrolyte systems. Hence, the present protein PEGylated poly(amino acid) mixture provides an ideal water-soluble model system to study the important role of electrostatic interaction in the complexation between proteins and polymers, leading to important new knowledge on the protein polymer interactions. Moreover, the polyelectrolyte complex micelle formed between protein and PEGylated polymer may provide a good drug delivery vehicle for therapeutic proteins.