Oral delivery is the most preferred route for accessing bioactive peptides and proteins for disease treatment from the patient's viewpoint. However, this is a great challenge because orally administered peptides and proteins are susceptible to the harsh gastrointestinal (GI) environment, various metabolic enzymes, and thiol/disulfide exchange reactions, and they cannot permeate the intestinal mucus and epithelial barriers. The self-emulsifying drug delivery system (SEDDS) has recently gained prominence because of its potential in the oral delivery of peptides and proteins. Stable payloads of hydrophilic proteins can be achieved in SEDDSs using feasible lipidization techniques, especially hydrophobic ion pairing. Upon entrapment in oily droplets derived from SEDDSs, protein drugs can be protected against enzymatic degradation and thiol/disulfide exchange reactions in the GI tract. After optimizing functional excipients and developing an efficient combination strategy, SEDDS droplets exhibit high mucus and membrane permeability and further enhance drug absorption and transport. The desired oral bioavailability and therapeutic effects of peptide and protein drugs could be achieved in vivo. This review presents the progress in the development of multifunctional SEDDSs for oral peptide and protein delivery. However, with the introduction of more novel multifunctional auxiliary agents and complicated structures to new-generation SEDDSs, more work is needed to identify the effects of excipients in the optimized combination and increase our knowledge of the fate of the excipients and the nanocarrier during absorption and transport. This knowledge will facilitate the future development of multifunctional SEDDSs for the oral application of therapeutic peptides and proteins.