Biocompatible oils are used in a variety of medical applications ranging from vaccine adjuvants to vehicles for oral drug delivery. To enable such nonpolar organic phases to serve as reservoirs for delivery of hydrophilic compounds, we explored the ability of block copolymer micelles in organic solvents to sequester proteins for sustained release across an oil-water interface. Self-assembly of the block copolymer, poly(6-caprolactone)block-poly(2-vinyl pyridine) (PCL-b-P2VP), was investigated in toluene and oleic acid, a biocompatible naturally occurring fatty acid. Micelle formation in toluene was characterized by dynamic light scattering (DLS) and atomic force microscopy (AFM) imaging of micelles cast onto silicon substrates. Cryogenic transmission electron microscopy confirmed a spherical morphology in oleic acid. Studies of homopolymer solubility implied that micelles; in oleic acid consist of a P2VP corona and a PCL core, while P2VP formed the core of micelles assembled in toluene. The loading of two model proteins (ovalbumin (ova) and bovine serum albumin (BSA)) into micelles was demonstrated with loadings as high as 7.8% wt of protein per wt of P2VP in oleic acid. Characterization of block copolymer morphology in the two solvents after protein loading revealed spherical particles with similar size distributions to the as-assembled micelles. Release of ova from micelles in oleic acid was sustained for 12-30 h upon placing the oil phase in contact with an aqueous bath. Unique to the situation of micelle assembly in an oily phase, the data suggest protein is sequestered in the P2VP corona block of PCL-b-P2VP micelles in oleic acid. More conventionally, protein loading occurs in the P2VP core of micelles assembled in toluene.