We previously reported the coassembly of various proteins with poly(4-vinylpyridine) (P4VP) to form core–shell nanoparticles (CSNPs). However, P4VP suffers from its cytotoxicity and in vivo toxicity, which prohibit it from many potential biomedical applications. Here, pyridine-grafted diblock copolymer poly(caprolactone-graft-pyridine)-block-poly(caprolactone) [P(CL-g-Py)-b-PCL] was prepared through a combination of ring-opening polymerization and Cu(I) catalyzed azide–alkyne cycloaddition reaction. CSNPs could be readily constructed by the self-assembly of transferrin (Tf) and P(CL-g-Py)-b-PCL, which showed a narrower range of particle sizes, improved stability, and higher loading capacity for anticancer drug doxorubicin (DOX), compared with similar particles prepared from the coassembly of Tf and P4VP. Additionally, the drug-loaded Tf/P(CL-g-Py)-b-PCL CSNPs could effectively target MCF7 cancer cells via the binding of Tf to transferrin receptors (TfR).