In the present study, we prepared nattokinase-loaded self-double-emulsifying drug delivery system (SDEDDS) and investigated its preliminary pharmacodynamics. The type and concentration of oil phase, inner aqueous phase and emulsifier were screened to prepare optimum nattokinase-loaded SDEDDS. Next, the optimum formulations were characterized based on microstructure, volume-weighted mean droplet size, self-emulsifying rate, yield, storage stability, in vitro release and in vivo pharmacodynamics studies. The water/oil/water multiple emulsions exhibited typical multiple structure, with relatively small volume-weighted mean droplet size 6.0 ± 0.7 μm and high self-emulsifying ability (self-emulsifying time <2 min). Encapsulation of nattokinase was up to 86.8 ± 8.2%. The cumulative release of nattokinase within 8 h was about 30%, exhibiting a sustained release effect. The pharmacodynamics study indicated that nattokinase-loaded SDEDDS could significantly prolong the whole blood clotting time in mouse and effectively improve the carrageenan-induced tail thrombosis compared with nattokinase solution. Moreover, we showed that SDEDDS could successfully self-emulsify into water/oil/water multiple emulsions upon dilution in dispersion medium with gentle stirring and effectively protect nattokinase activity in gastric environment. Our findings suggested that SDEDDS could be a promising strategy for peptide and protein drugs by oral administration.