Protein compatibility is important for protein drug delivery using microsphere-based devices. Collagen has excellent protein compatibility but has poor mechanical stability for microsphere fabrication and open meshwork for controlled release. In this study, a protein-compatible fabrication method for injectable collagen microspheres has been developed. The surface morphology, interior microstructure and protein release characteristics of collagen microspheres were investigated. Moreover, effects of photochemical crosslinking on these characteristics were also studied. Finally, the mechanisms governing the protein release and the retention of protein bioactivity were studied. Stable and injectable collagen microspheres consisting of nano-fibrous meshwork were successfully fabricated under ambient conditions in an organic solvent and crosslinking reagent-free manner. These microspheres have open meshwork and showed large initial burst and rapid release of proteins. Photochemical crosslinking significantly reduced the initial burst effect and controlled the protein release in a photosensitizer dose-dependent manner without significantly altering the mesh size. We further demonstrated that there was significantly higher protein retention within the photochemically crosslinked collagen microspheres as compared with the uncrosslinked, suggesting a secondary retention mechanism. Lastly, both surfactant treatment and photochemical crosslinking did not compromise the bioactivity of the encapsulated proteins. In summary, this study reports a novel collagen microsphere-based protein delivery system and demonstrates the possibility to use photochemical crosslinking as the secondary retention mechanism for proteins.