To overcome hydrophobicity and chemical instability of resveratrol (Rev), modified whey protein isolate (WPI) and gelatin (Gel) were used to load Rev. Three treatments including pH-shifting at pH 12 (S), pH-shifting at pH 12 combined with ultrasonication at pH 7 (SU7), and pH-shifting at pH 12 combined with ultrasonication at pH 12 (SU12) were conducted to obtain a series of modified proteins (WPI-S, WPI-SU7, WPI-SU12, Gel-S, Gel-SU7, Gel-SU12). Among them, WPI-SU12 and Gel-SU12 had the highest encapsulation efficiency (EE) and loading capacity (LC) for Rev. The EE and LC were 92.69 ± 0.25% and 17.37 ± 0.067 g/100 g protein in WPI-SU12-Rev nanocomposite, respectively, and 83.85 ± 0.43% and 15.68 ± 0.070 g/100 g protein in Gel-SU12-Rev nanocomposite, respectively. This might be related to the highest surface hydrophobicity of modified proteins in SU12 groups. The particle sizes of all nanocomposites were below 200 nm, while the higher ζ-potential absolute value of WPI-SU12-Rev nanocomposite than that of Gel-SU12-Rev nanocomposite indicated higher stability. Molecular interaction and secondary structure analysis verified that the proteins and Rev bound to each other. Moreover, protein nanocomposites could greatly improve the water solubility and antioxidant capacity of Rev. In summary, the WPI modified by ultrasonication at pH 12 showed the best loading with Rev.