Poly(lactic-co-glycolic acid) (PLGA) microspheres have been widely used for minimally invasive, local, and sustained drug delivery. However, they are often plagued by limited controllability of encapsulation efficiency, initial burst, and release rate of drug molecules. This study presents a new strategy of tuning the encapsulation efficiency and the release rate of protein drugs from a PLGA microsphere by filling the hollow core of the microsphere with poly(ethylene glycol) (PEG) hydrogels of varying cross-linking density. The PEG gel cores were prepared by inducing in situ cross-linking reactions of PEG within the PLGA microspheres. The resulting PEG-PLGA core-shell microspheres displayed increased encapsulation efficiency, decreased initial burst release, and a more sustained release of protein drugs by controlling the cross-linking density of the PEG gel core. In addition, in vivo implementation of PEG-PLGA core-shell microspheres encapsulated with vascular endothelial growth factor (VEGF) onto a chicken chorioallantoic membrane demonstrated a significant increase in the number of new blood vessels at an implantation site, while minimizing inflammation. Overall, this strategy of introducing PEG gel into PLGA microspheres will be highly useful in tuning release rates and ultimately in improving the therapeutic efficacy of a wide array of protein drugs.