Anthocyanin (cyanidin-3-O-glucose) is a natural water-soluble pigment with a robust antioxidant capacity. However, its poor stability and bioavailability limits its application as a functional food ingredient. This study explored the ability of the silkworm pupa protein–glucose (Spp–Glu) conjugate, developed under wet-heating conditions, to improve the thermal stability and antioxidant activity of cyanidin-3-O-glucose (C3G) at pH 3.0 and 6.8. The characterization experiments suggested that C3G complexed with the Spp–Glu conjugate could modify the protein's microenvironment and cause unfolding of the protein's secondary structures under varied pH conditions. Spectroscopic techniques further revealed the formation of complexes via hydrophobic interactions and static quenching processes when C3G was bound to Spp or Spp–Glu. The formation of these complexes effectively attenuated C3G degradation, thereby enhancing its stability under heat treatment over a range of pH values, and the experiments measuring antioxidant activity suggested that the Spp–Glu conjugate formed does not affect the efficacy of C3G after complexation. Therefore, our study suggests that Spp–Glu has the potential to effectively protect and deliver anthocyanins during industrial application for functional food formulation.