Combination therapy with chemotherapeutics and protein therapeutics, typically cytokines and antibodies, has been a type of crucial approaches for synergistic cancer treatment. However, conventional approaches by simultaneous administration of free chemotherapeutic drugs and proteins lead to limitations for further optimizing the synergistic effects, due to the distinct in vivo pharmacokinetics and distribution of small drugs and proteins, insufficient tumor selectivity and tumor accumulation, unpredictable drug/protein ratios at tumor sites, short half-lives, and serious systemic adverse effects. Consequently, to obtain optimal synergistic anti-tumor efficacy, considerable efforts have been devoted to develop the co-delivery systems for co-incorporating chemotherapeutics and proteins into a single carrier system and subsequently releasing the dual or multiple payloads at desired target sites in a more controllable manner. The co-delivery systems result in markedly enhanced blood stability and in vivo half-lives of the small drugs and proteins, elevated tumor accumulation, as well as the capability of delivering the multiple agents to the same target sites with rational drug/protein ratios, which may facilitate maximizing the synergistic effects and therefore lead to optimal antitumor efficacy. This review emphasizes the recent advances in the co-delivery systems for chemotherapeutics and proteins, typically cytokines and antibodies, for systemic or localized synergistic cancer treatment. Moreover, the proposed mechanisms responsible for the synergy of chemotherapeutic drugs and proteins are discussed.