Poly(lactic-co-glycolic acid) (PLGA) microspheres have been widely used as drug carriers for minimally invasive, local, and sustained drug delivery. However, their use is often plagued by limited controllability of encapsulation efficiency, initial burst, and release rate of drug molecules, which cause unsatisfactory outcomes and several side effects including inflammation. 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 monoacrylate solution within the PLGA microspheres. The resulting PEG-PLGA core-shell microspheres exhibited (1) increased encapsulation efficiency, (2) decreased initial burst, and (3) a more sustained release of protein drugs, as the cross-linking density of the PEG gel core was increased. In addition, implantation of PEG-PLGA core-shell microspheres encapsulated with vascular endothelial growth factor (VEGF) onto a chicken chorioallantoic membrane resulted in 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.