From a formulation perspective proteins are complex and therefore challenging molecules to develop drug delivery systems for. The success of a formulation depends on the ability of the protein to maintain the native structure and activity during preparation and delivery as well as during shipping and long-term storage of the formulation. Therefore, the development and evaluation of successful and promising drug delivery systems is essential. In the present review, some of the particulate drug delivery systems for parenteral delivery of protein are presented and discussed. The challenge for incorporation of protein in particulate delivery systems is exemplified by water-in-oil emulsions.