The history of the topic of proteins at soft interfaces dates back to the 19th century, and until the present day, it has continuously attracted great scientific interest. A multitude of experimental methods and theoretical approaches have been developed to serve the research progress in this large domain of colloid and interface science, including the area of soft colloids such as foams and emulsions. From classical methods like surface tension adsorption isotherms, surface pressure-area measurements for spread layers, and surface rheology probing the dynamics of adsorption, nowadays, advanced surface-sensitive techniques based on spectroscopy, microscopy, and the reflection of light, X-rays and neutrons at liquid/fluid interfaces offers important complementary sources of information. Apart from the fundamental characteristics of protein adsorption layers, i.e., surface tension and surface excess, the nanoscale structure of such layers and the interfacial protein conformations and morphologies are of pivotal importance for extending the depth of understanding on the topic. In this review article, we provide an extensive overview of the application of three methods, namely, ellipsometry, X-ray reflectometry and neutron reflectometry, for adsorption and structural studies on proteins at water/air and water/oil interfaces. The main attention is placed on the development of experimental approaches and on a discussion of the relevant achievements in terms of notable experimental results. We have attempted to cover the whole history of protein studies with these techniques, and thus, we believe the review should serve as a valuable reference to fuel ideas for a wide spectrum of researchers in different scientific fields where proteins at soft interface may be of relevance.