Inspired by the diverse protein-based structures and materials in organisms, proteins have been expected as promising biological components for constructing nanomaterials toward various applications. In numerous studies protein-based nanomaterials have been constructed with the merits of abundant bioactivity and good biocompatibility. However, self-assembly of proteins as a dominant approach in constructing anticancer nanodrugs has not been reviewed. Here, we provide a comprehensive account of the role of protein self-assembly in fabrication, regulation, and application of anticancer nanodrugs. The supramolecular strategies, building blocks, and molecular interactions of protein self-assembly as well as the properties, functions, and applications of the resulting nanodrugs are discussed. The applications in chemotherapy, radiotherapy, photodynamic therapy, photothermal therapy, gene therapy, and combination therapy are included. Especially, manipulation of molecular interactions for realizing cancer-specific response and cancer theranostics are emphasized. By expounding the impact of molecular interactions on therapeutic activity, rational design of highly efficient protein-based nanodrugs for precision anticancer therapy can be envisioned. Also, the challenges and perspectives in constructing nanodrugs based on protein self-assembly are presented to advance clinical translation of protein-based nanodrugs and next-generation nanomedicine.