Creation of three-dimensional (3D) porous nanostructured electrodes with controlled conductive pathways for both ions and electrons is becoming an increasingly important strategy and is particularly of great interest for the development of high-performance energy storage devices. In this article, we report a facile and environmentally friendly self-assembly approach to fabricating advanced 3D nanostructured electrodes. The self-assembly is simply realized via formation of a multifunctional protein coating on the surface of electrode nanoparticles by using a denatured soy protein derived from the abundantly prevalent soybean plant. It is found that the denatured protein coating plays three roles simultaneously: as a surfactant for the dispersion of electrode nanoparticles, an ion-conductive coating for the active materials, and a binder for the final electrode. More importantly, it is interestingly found that being a unique surfactant, the surface protein coating enables the self-assembly behavior of the electrode nanoparticles during the evaporation of aqueous dispersion, which finally results in 3D porous nanostructured electrodes. In comparison with the most classic binder, poly(vinylidene fluoride), the advantages of the 3D nanostructured electrode in terms of electrochemical properties (capacity and rate capability) are demonstrated. This study provides an environmentally friendly and cost-effective self-assembly strategy for fabrication of advanced nanostructured electrodes using electrode nanoparticles as the building block.