In this work, we report the formation of complexes by self-assembly of bovine serum albumin (BSA) with a poly(ethylene glycol) lipid conjugate (PEG(2000)-PE) in phosphate saline buffer solution (pH 7.4). Three different sets of samples have been studied. The BSA concentration remained fixed (1, 0.01, or 0.001 wt % BSA) within each set of samples, while the PEG(2000)-PE concentration was varied. Dynamic light scattering (DLS), rheology, and small-angle X-ray scattering (SAXS) were used to study samples with 1 wt % BSA. DLS showed that BSA/PEG(2000)-PE aggregates have a size intermediate between a BSA monomer and a PEG(2000)-PE micelle. Rheology suggested that BSA/PEG(2000)-PE complexes might be surrounded by a relatively compact PEG-lipid shell, while SAXS results showed that depletion forces do not take an important role in the stabilization of the complexes. Samples containing 0.01 wt % BSA were studied by circular dichroism (CD) and ultraviolet fluorescence spectroscopy (UV). UV results showed that at low concentrations of PEG-lipid, PEG(2000)-PE binds to tryptophan (Trp) groups in BSA, while at high concentrations of PEG-lipid the Trp groups are exposed to water. CD results showed that changes in Trp environment take place with a minimal variation of the BSA secondary structure elements. Finally, samples containing 0.001 wt % BSA were studied by zeta-potential experiments. Results showed that steric interactions might play an important role in the stabilization of the BSA/PEG(2000)-PE complexes.