A new container composed of an inner gel core and an outer protein shell has been prepared by sonicating oil in an aqueous protein solution. Hydrophobic drugs can be loaded into the containers and released by thermal trigger. In this paper, we attempted to discover the release mechanism of the protein containers by means of individual carrier characterization and release data analysis. The mechanical and thermal properties of the containers were first investigated and associated with the release mechanism. At room temperature, the protein container was robust and elastic. Plastic deformation did not happen until the container was compressed above 70% deformation. Stirring the protein containers in a buffer solution could only release 15% of the encapsulated drug. The drug release was mainly from diffusion of the drug located in the outer layer of the gel core. When the temperature increases above the gel transition temperature, the gel core was liquefied and the protein container shrunk, which resulted in a squeezing-controlled quick release. Annealing the protein container at the increased temperature led to a complete release of encapsulated drug via a diffusion-controlled release mechanism.