Studying the genetic regulation of protein expression (through protein quantitative trait loci (pQTLs)) offers a deeper understanding of regulatory variants uncharacterized by mRNA expression regulation (expression QTLs (eQTLs)) studies. Here we report cis-eQTL and cis-pQTL statistical fine-mapping from 1,405 genotyped samples with blood mRNA and 2,932 plasma samples of protein expression, as part of the Japan COVID-19 Task Force (JCTF). Fine-mapped eQTLs (n = 3,464) were enriched for 932 variants validated with a massively parallel reporter assay. Fine-mapped pQTLs (n = 582) were enriched for missense variations on structured and extracellular domains, although the possibility of epitope-binding artifacts remains. Trans-eQTL and trans-pQTL analysis highlighted associations of class I HLA allele variation with KIR genes. We contrast the multi-tissue origin of plasma protein with blood mRNA, contributing to the limited colocalization level, distinct regulatory mechanisms and trait relevance of eQTLs and pQTLs. We report a negative correlation between ABO mRNA and protein expression because of linkage disequilibrium between distinct nearby eQTLs and pQTLs.