In this work, based on the structural characteristics of bio-membrane molecules, a novel type of high-performance hydrophobic interaction chromatography stationary phase was prepared using cholesterol as a ligand. Investigating the separation performance of this stationary phase, the effect of pH and salt concentration of the mobile phase on the retention time, the absorption capacity, and the hydrophobic ability revealed that this stationary phase had a high loading capacity and moderate hydrophobic interactions compared with four different hydrophobic interaction chromatography stationary phase ligands. Five types of standard proteins could be baseline separated with a great selection for protein separation. When 3.0 M urea was added to the mobile phase, it could be refolded with simultaneous purification of denatured lysozyme by one-step chromatography. The mass recovery of lysozyme reached 89.5%, and the active recovery was 96.8%. Compared with traditional hydrophobic interaction chromatography, this new stationary phase has a good hydrophobic ability and a significant refolding efficiency.