Inorganic and organic colloidal particles are known to impart much higher stability to foams and emulsions than proteins, heat-induced protein aggregates or low molar mass surfactants. In this study we show that α-lactalbumin can be enzymatically cross-linked by horse-radish peroxidase to produce nanoparticles with controlled size and meso-scale structure. Furthermore, the effects of process parameters, such as the protein concentration (10–30 g L−1), total dosed amount of hydrogen peroxide (0–10 mM), the time gap between each dosage of hydrogen peroxide (120–600 s) and ionic strength (100–200 mM), on the sizes of the nanoparticles have been investigated. The cross-linked protein nanoparticles varied in size (radius of gyration, Rg) and weight averaged molar mass (Mw), ranging between monomeric protein (∼2 nm, 14.2 kDa) and nanoparticles (200 nm, 100 MDa). The speed of particle formation increased with increasing ionic strength, but their meso-scale structure remained similar. The Rg of these nanoparticles scaled as Mw0.6, indicating similar meso-scale structure (conformation) at all length scales but variation of density with size. The apparent density (internal protein concentration) of the nanoparticles was between 104 and 10 kg m−3 for Rg ∼ 20 nm and Rg > 100 nm respectively.