The purpose of this work is to investigate the entrapment of protein molecules in cubosomic nanocarriers that are sterically stabilized by an amphiphilic poly(ethylene glycol) (PEG) derivative. Toward that aim, the mechanism of fragmentation of a self-assembled, PEGylated cubic lipid phase into nanoparticles (NPs) is investigated in excess aqueous medium. The molar ratio between the cubic-phase-forming lipid monoolein (MO) and its PEGylated derivative (MO-PEG(2000)) is selected as to favor the formation of inverted-type liquid-crystalline (LC) structures (permitting one to reveal the stages of the fragmentation and bicontinuous membrane NP assembly process) rather than a phase transformation to lamellar or micellar phases. The PEGylated amphiphile considerably affects the interfacial curvature of the cubic lipid membrane and, under agitation, contributes to the fragmentation of the bicontinuous cubic lattice into NPs. Freeze-fracture electron microscopy (FF-EM), quasi-elastic light scattering (QELS), and confocal laser scanning fluorescence microscopy (CLSFM) are applied for determination of the NPs sizes, inner organization, and stability with regard to a thermal stimulus. Entrapped protein molecules can essentially stabilize the cubosomic particles (proteocubosomes), which display well-defined inner organization of nanochannels in their freeze-fracture planes. The protein achymotrypsinogen A is studied in proteocubosome dispersions by means of far-UV synchrotron radiation circular dichroism (SRCD) spectroscopy. It is suggested that the protein molecules are entrapped in the interior of the PEGylated cubosomes via a "nanopockets" mechanism. The LC PEGylated proteocubosomes offer new possibilities for investigation of protein loading in sterically stabilized ("Stealth") nanostructured lipid carriers, which differ from Poloxamer-stabilized isasomes.