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Cottonseed protein (CP) was compounded with polycaprolactone (PCL) in different concentrations by melt blending, and then hot-pressed to prepare CP/PCL blend films. A co-continuous phase is formed when the CP/PCL content is 50/50, and the tensile strength, modulus and toughness are 9, 10, and 63 times greater than that of neat CP film. This remarkable improvement is mainly due to the intrinsic flexibility of long PCL polymer chains, whilst the polymeric crystalline structure can still be formed. Furthermore, 1 wt% of compatibilizing agent — glycidyl methacrylate (GMA) or maleic anhydride (MA), is added to the blends. Measurements from scanning electron microscopy (SEM), X-ray photoelectron spectroscopy (XPS) and Fourier transform infrared spectroscopy (FTIR) showed the presence of chemically reactive compatibilization between the compatibilizer and CP or PCL phase, and the two phases with strong binding forces are well dispersed. Meanwhile, the compatibilizer can induce the protein secondary structure to unfold, further increasing the physical compatibilization between the protein and polymer chains, which has a noticeable contribution to the blend's mechanical, hydrophobic properties and thermal stability. This work adds new element to the knowledge of compatibilization in terms of optimised interfaces of polymer blends, and provide new insights into fabricating high performance protein derived bioplastics and biocomposites.