Self-assembly of a protein is a natural phenomenon; however, the process can be performed under a suitable condition in vitro. Since proteins are nontoxic, biodegradable, and biocompatible in nature, they are used in various industrial applications such as biocatalyst, therapeutic agent, and drug carriers. Moreover, their flexible structural state and specific activity are being used as sensors and immensely attract many new applications. However, the inherent potential of protein self-assembly for various applications is yet to be explored in detail. In this study, spherical self-assembly of bovine α-lactalbumin (nsBLA) was synthesized using an optimized ethanol-mediated desolvation process with an average diameter of approximately 300 nm. The self-assembly was found to be highly stable against thermal, pH, and proteases stress. When nsBLA was administered in various cancer cells, it demonstrated high cytotoxicity in three different cancer cells via reactive oxygen species (ROS) generation, whereas it exhibited negligible toxicity in normal human and murine cells. When nsBLA was conjugated with folic acid, it improved the cytotoxicity and perhaps mediated through enhanced cellular uptake in cancer cells through binding with folate receptors. Further, experimental results confirmed that the cancer cell death induced by nsBLA was not caused by apoptosis but a necrotic-like death mechanism. When compared with a well-known protein-based anticancer agent BAMLET (bovine α-lactalbumin made lethal against tumor cell), the self-assembled BLA clearly exhibited higher cytotoxicity to cancer cells than BAMLET. While BAMLET exhibits poor biocompatibility, our nsBLA demonstrated excellent biocompatibility to normal cells. Therefore, in this study, we prepared self-assembled α-lactalbumin that exhibits strong inherent antiproliferative potential in multiple cancer cells which can be used for efficient therapeutic approach in cancer.