Protein/peptide drugs possess unique advantages, such as high pharmacological potency, molecular specificity, multifunctionality, and low toxicity, and thus hold great potential for use in cancer therapy. In the past decades, great achievements have been made in protein delivery systems, which can protect cargo proteins against detrimental physiological environments and efficiently deliver proteins into tumor sites and cells. In this Review, we first summarize the existing protein/peptide drugs used for cancer treatment, illustrate their anti-tumor mechanisms, and point out the potential challenges/barriers against their medical utility. We then discuss the existing strategies for protein encapsulation/conjugation and survey recent advances in the development of protein delivery vehicles, including lipid-based membrane nanocarriers, polymeric carriers, metal-organic frameworks, inorganic carriers, protein/peptide-based nanocarriers, and DNA nanostructures. The design strategies, advantages in potentiating protein delivery efficiencies, and possible limitations of these delivery systems are also discussed. Finally, future opportunities and challenges in anti-cancer protein/peptide delivery are indicated.