Porcine circovirus type 2 (PCV2) is an important pathogen harmful to global pig production, which causes immunosuppression and serious economic losses. PCV2 capsid (Cap) protein expressed by E. coli or baculovirus-insect cells are often used in preparation of PCV2 subunit vaccines, but the latter is expensive to produce. It is therefore crucial to comparison of the immune effects of Cap protein expressed by the above two expression systems for reducing the production cost and guaranteeing PCV2 vaccine quality. In this study, the PCV2d-Cap protein lacking nuclear localization signal (NLS), designated as E. coli-Cap and Bac-Cap, was expressed by E. coli and baculovirus-Spodoptera frugiperda Sf9 (Bac-Sf9) cells, respectively. The expressed Cap proteins could self-assemble into virus-like particles (VLPs), but the Bac-Cap-assembled VLPs were more regular. The two system-expressed Cap proteins induced similar specific IgG responses in mice, but the neutralizing antibody levels of Bac-Cap-immunized mice was higher than those of E. coli-Cap. After PCV2 challenge, IL-10 in Bac-Cap immunized mice decreased significantly than that in E. coli-Cap. The lesions and PCV2 antigen positive cells in tissues of mice immunized with E. coli-Cap and Bac-Cap were significantly reduced, and Bac-Cap appeared mild lesions and fewer PCV2 antigen-positive cells compared with E. coli-Cap immunized mice. The study indicated that Cap proteins expressed by E. coli and Bac-Sf9 cells could induce specific protective immunity, but the latter induced more effective immunity, which provides valuable information for the research and development of PCV2 vaccine.