The aim of the present study was to fabricate polycaprolactone-based nanofibrous scaffolds with incorporated protein via either the blend or coaxial electrospinning technique. Both techniques were compared with respect to processing set-up and scaffold characteristics as well as the release kinetics and biological activity of the loaded protein. Bovine serum albumin was used as a model protein to determine release profiles, while alkaline phosphatase was used to determine protein activity after the electrospinning process. Coaxial electrospinning resulted in a uniform fiber morphology with a core-shell structure, and a homogeneous protein distribution throughout the core of the fibers. In contrast, blend electrospinning formed bead-like fibers with a heterogeneous protein distribution in the fibers. The coaxial scaffold exhibited more sustained release profiles than the comparative blend scaffold, and the additive poly(ethylene glycol) (PEG) in the coaxial scaffold accelerated protein release. Both electrospinning processes decreased the biological activity of the incorporated protein, but coaxial electrospinning with PEG as an additive showed up to 75% preservation of the initial biological activity. Thus, coaxial electrospinning was demonstrated to be superior to blend electrospinning for the preparation of nanofibrous scaffolds with a uniform fibrous structure and protein distribution and sustained protein release kinetics as well as high preservation of the protein activity.