Using thymopentin and insulin as the model protein–drugs, novel Gel-Core-solid lipid nanoparticle (SLN) with the hydrogel core and lipid shell were prepared by double emulsion and thermal sensitive gel technology, with the intention to improve the entrapment efficiency. Pluronic F127 and Glyceryl palmitostearate were selected as hydrogel material and lipid material, respectively. The particle sizes and zeta-potential were characterized by dynamic light scattering and electrophoretic light scattering. Transmission electron microscopy (TEM) was employed to investigate the structure of this Gel-Core-SLN. The Gel-Core-SLN was successfully prepared and the particle size was 305.2 nm with zeta potential of −17.15 mV. Observations by TEM confirmed that most solidified hydrogel particles were dispersed in the central of Gel-Core-SLN as a form of single core, which effectively prevented the diffusion of proteins to the external water phase during preparation process. The entrapment efficiency of thymopentin-loaded Gel-Core-SLN and insulin-loaded Gel-Core-SLN were 61.97% and 57.36%, respectively. Both the two drug-loaded Gel-Core-SLNs showed relatively low burst release. The pharmacological availability of insulin-loaded Gel-Core-SLN was 6.02%. It was suggested that the Gel-Core-SLN could be a promising drug delivery system with the outstanding encapsulation efficiency, low burst release and relatively high pharmacological availability.