Proteins are important food ingredients that possess both functional and nutritional properties. High hydrostatic pressure (HHP) is an emerging nonthermal food processing technology that has been subject to great advancements in the last two decades. It is well established that pressure can induce changes in protein folding and oligomerization, and consequently, HHP has the potential to modify the desired protein properties. In this review article, the research progress over the last 15 years regarding the effect of HHP on protein structures, as well as the applications of HHP in modifying protein functionalities (i.e., solubility, water/oil holding capacity, emulsification, foaming and gelation) and nutritional properties (i.e., digestibility and bioactivity) are systematically discussed. Protein unfolding generally occurs during HHP treatment, which can result in increased conformational flexibility and the exposure of interior residues. Through the optimization of HHP and environmental conditions, a balance in protein hydrophobicity and hydrophilicity may be obtained, and therefore, the desired protein functionality can be improved. Moreover, after HHP treatment, there might be greater accessibility of the interior residues to digestive enzymes or the altered conformation of specific active sites, which may lead to modified nutritional properties. However, the practical applications of HHP in developing functional protein ingredients are underutilized and require more research concerning the impact of other food components or additives during HHP treatment. Furthermore, possible negative impacts on nutritional properties of proteins and other compounds must be also considered.