Phycocyanin (PC), a spirulina-derived protein–chromophore complex, suffers from poor techno-functional properties and is highly susceptible to aggregation and color changes upon heating and pH fluctuations. We tackled these issues by modifying PC via PEGylation. Electrophoresis and Fourier transform infrared spectroscopy proved successful conjugation of methoxy PEG (mPEG) chains on PC after PEGylation. Circular dichroism indicated highly ordered folding states adopted by PEGylated PC, which we attributed to the mPEG chains on the protein surface that sterically stabilized the protein structure. Consequently, the mPEG–PC conjugates exhibited high blue color intensity and improved thermodynamic stability. Further, benefit from an electrostatic shielding effect of mPEG chains, surface charges of PEGylated PC were neutralized over pH 2–9 and the blue hue of PC was stabilized against pH variations. Additionally, the flexible and hydrophilic mPEG polymers on the PC surface promoted protein–protein and protein–water interactions. PEGylated PC thus gained increased protein solubility, techno-functionality (emulsifying, foaming, and gelling performance), and antioxidant activities, when compared to unmodified PC. Heat-induced gels formed by mPEG–PC conjugates exhibited increased stiffness, higher water retention, and weak gel-type rheological properties. After PEGylation, the improved functional properties, bioactivity, and color stability against heat and pH fluctuations will facilitate food and pharmaceutical applications of PC.