As an aim toward developing biologically mimetic and functional nanofiber-based tissue engineering scaffolds. we demonstrated the encapsulation of a model protein, fluorescein isothiocyanate-conjugated bovine serum albumin (fitcBSA), along with a water-soluble polymer, poly(ethylene glycol) (PEG), within the biodegradable poly(epsilon-caprolactone) (PCL) nanofibers using a coaxial electrospinning technique. By variation of the inner flow rates from 0.2 to 0.6 mL/h with a constant outer flow rate of 1.8 mL/h, fitcBSA loadings of 0.85-2.17 mg/g of nanofibrous membranes were prepared. Variation of flow rates also resulted in increases of fiber sizes from ca. 270 nm to 380 nm. The encapsulation of fitcBSA/PEG within PCL was subsequently characterized by laser confocal scanning microscopy, transmission electron microscopy (TEM), and X-ray photoelectron spectroscopy (XPS) analysis. In vitro release Studies were conducted to evaluate sustained release potential of the core-sheath-structured composite nanofiber PCL-r-fitcBSA/PEG. As a negative control, composite nanofiber PCL/fitcBSA/PEG blend was prepared from a normal electrospinning method. It was found that core-sheath nanofibers PCL-r-fitcBSA/PEG pronouncedly alleviated the initial burst release for higher protein loading and gave better sustainability compared to that of PCL/fitcBSA/PEG nanofibers. The present study would provide a basis for further design and optimization of processing conditions to control the nanostructure of core-sheath composite nanofibers and ultimately achieve desired release kinetics of bioactive proteins (e.g., growth factors) for practical tissue engineering applications.