In recent years, numerous studies have focused on the understanding of the interactions between proteins and nanoparticles (NPs). In this work, we focus on the interaction of bovine α-lactalbumin (BLA) with differently coated magnetic nanoparticles (MP): as formed MP, MPs stabilized with dopamine (MPdopamine) and nanoparticles coated with cellulose (MPcellulose). The influence of the coating on the nanoparticle–protein interaction is revealed by a set of different experiments. The binding affinity (KA) between BLA and these three structures was found to vary from 105 M−1 (for MPs) to 1011 M−1 (MPcellulose). The orientation of BLA and the involvement of amino acid residues in the process of interaction with magnetic nanoparticles were identified by molecular docking studies. In addition, circular dichroism spectra revealed that the conformation of BLA was conserved upon interaction with the magnetic nanoparticles.