Human serum albumin (HSA) introduced to the fibers produced by electrospinning from HSA and polycaprolactone (PCL) solutions in hexafluoroisopropanol has been studied in terms of its structure, release from the fibers, stability of interaction with basic polymer, accessibility for protease attack, and cellular receptors, as well as dependence of the studied parameters on the protein concentration in fibers. A limited part of the protein leaves the fibers right after soaking with water, whereas the remaining protein stays tightly bound to fibers for a long time because protein nanoparticles are tightly integrated with PCL, as shown by small-angle X-ray scattering. As has been demonstrated, the proteins leave the fibers in complexes with PCL. X-ray photoelectron spectroscopy demonstrates that the protein concentration on the fiber surface is higher than the concentration in electrospinning solution. The surface-exposed protein is recognized by cell receptors and is partially hydrolyzed by proteinase K. The data on pulse protein release, presence of PCL in the protein released from matrixes, overrepresentation of the protein on the fiber surface, and tight interaction of protein with PCL may be useful for rational design of electrospun scaffolds intended for drug delivery and tissue engineering.