In this study, we made self-assembled soy protein nanoparticles (SPN) by partially hydrolyzing soy protein isolate (SPI) using Flavourzyme at different hydrolysis times (0, 0.5, 1, 1.5, 2, 3, and 4 h). Compared with SPI, SPN (hydrolysis time, 1.5 h) was spherical with smaller particle size, better dispersion, and higher surface hydrophobicity. The interaction and stability of SPN loaded with different concentrations (0, 0.05, 0.1, 0.3, and 0.5 mmol/L) of lutein (Lut), β-carotene (β-Car), and curcumin (Cur) were then characterized. The encapsulation efficiency, load capacity, and X-ray diffraction measurements showed that natural pigments were successfully encapsulated by SPN in amorphous form, with the highest encapsulation efficiency observed at 0.05 mmol/L with 94.3%, 88.7%, and 96.0% for Lut, β-Car, and Cur, respectively. Fluorescence, ultraviolet, and infrared spectroscopy revealed that natural pigments were loaded into SPN mainly by hydrophobic interactions, and hydrogen bonding was also involved in the loading process of Lut and Cur. Moreover, the outcomes of the isothermal titration calorimetry measurement validated the spontaneous and entropy-driven binding process between SPN and natural pigments. Due to its low molecular weight, a high number of phenolic hydroxyl groups, and low spatial resistance, Cur was most encapsulated in SPN, while the strongest interactions were observed. Lut, β-Car, and Cur were encapsulated by SPN with significantly better thermal and light stability, especially Cur. This study may open a new avenue for the use of SPN as product formulations to extend lipophilic natural edible pigments in food products.