In this work, we selected a small globular protein, lysozyme, to study how it unfolds and refolds in the presence of micelles composed of the unstructured β-casein proteins by using microcalorimetry and circular dichroism spectroscopy. It was found that a partially unfolded structure of lysozyme starts to form when the β-casein/lysozyme molar ratio is above 0.7, and the structure forms exclusively when the β-casein/lysozyme molar ratio is above 1.6. This partially unfolded state of lysozyme loses most of its tertiary structure and after heating, the denatured lysozyme molecules are trapped in the charged coatings of β-casein micelles and cannot refold upon cooling. The thus obtained protein complex can be viewed as a kind of special polyelectrolyte complex micelle. The net charge ratios of the two proteins and the ionic strength of the dispersions can significantly modulate the electrostatic and hydrophobic interactions between the two proteins. Our present work may have implications for the nanoparticle protein engineering therapy in the biomedicine field and may provide a better understanding of the principles governing the protein-protein interactions. Besides, the heating-cooling-reheating procedure employed in this work can also be used to study the unfolding and refolding details of the target protein in other protein-protein, protein-polymer and protein-small solute systems.