Proteins are natural amphiphilic polymers that often have good emulsifying, gelling, and structure forming properties. Consequently, they can be used to assemble protein-based colloidal delivery systems for bioactive agents, such as nanoemulsions, protein nanoparticles, or microgels. However, the functional performance of some proteins is limited because of their poor water-solubility, a tendency to aggregate, and or low surface activity, which limits their application for this purpose. Therefore, physicochemical modification is often necessary to improve their technofunctional characteristics. High-intensity ultrasound (HIU) is a non-thermal processing method that has considerable potential for the modification of the structural, physicochemical, and functional properties of proteins. In this article, we review the impact of sonication on the properties of proteins, including their size, charge, surface hydrophobicity, flexibility, solubility, free sulfhydryl groups, and disulfide bond formation. In addition, the influence of sonication on the emulsifying, foaming, gelling, and encapsulation properties of proteins is reviewed. Previous studies show that high-intensity ultrasound treatments have a strong influence on the molecular characteristics of proteins (increasing their solubility, flexibility, and functionality), which improves their ability to form colloidal delivery systems.