Edible alginate microgels are widely used to encapsulate, retain, protect, and release bioactive molecules in foods. Encapsulation of food proteins within alginate microgels may be advantageous for certain applications, such as creating controlled release delivery systems or for protection of other co-encapsulated bioactive components. Egg white protein-loaded alginate microgels were fabricated in this study using a simple injection-gelation method. The impact of pH (pH 3, 5 and 7) and thermal treatment (25 to 85 °C) on the encapsulation efficiency, retention, and physicochemical properties of the microgels was measured. Protein encapsulation efficiency and retention was highest at the lowest pH, which was attributed to the strong electrostatic attraction between the cationic egg white proteins and anionic alginate. Thermal treatment of the egg white proteins before microgel formation enhanced their encapsulation and retention, which was attributed to an increase in their physical dimensions due to unfolding and aggregation. As a result, it was more difficult for them to diffuse through the pores in the alginate microgels. The information obtained in this study may facilitate the design of more effective protein-loaded alginate microgels for food and other applications.