Polymeric nanoparticles are widely investigated as drug delivery systems for oral administration. However, the hydrophobic nature of many polymers hampers effective loading of the particles with hydrophilic macromolecules such as insulin. Thus, the aim of this work was to improve the loading of insulin into poly(lactic-co-glycolic) acid (PLGA) nanoparticles by pre-assembly with amphiphilic lipids. Insulin was complexed with soybean phosphatidylcholine or sodium caprate by self-assembly and subsequently loaded into PLGA nanoparticles by using the double emulsion-solvent evaporation technique. The nanoparticles were characterized in terms of size, zeta potential, insulin encapsulation efficiency and loading capacity. Upon pre-assembly with lipids, there was an increased distribution of insulin into the organic phase of the emulsion, eventually resulting in significantly enhanced encapsulation efficiencies (90% as compared to 24% in the absence of lipids). Importantly, the insulin loading capacity was increased up to 20% by using the lipid–insulin complexes. The results further showed that a main fraction of the lipid was incorporated into the nanoparticles and remained associated to the polymer during release studies in buffers, whereas insulin was released in a non-complexed form as a burst of approximately 80% of the loaded insulin. In conclusion, the protein load in PLGA nanoparticles can be significantly increased by employing self-assembled protein-lipid complexes.