Bombyx mori cocoon has a multi-layer structure that provides optimal protection for silkworm pupa. Research on the mechanical properties of the multi-layer structure revealed structure-property relationships of the cocoon. Here, we investigated the protein components of the B. mori cocoon in terms of its multi-layer structure. Liquid chromatography-tandem mass spectrometry identified 286 proteins from the multiple cocoon layers. In addition to fibroins and sericins, we identified abundant protease inhibitors, seroins and proteins of unknown function. By comparing protein abundance across layers, we found that the outermost layer contained more sericin1 and protease inhibitors and the innermost layer had more seroin1. As many as 36 protease inhibitors were identified in cocoons, showing efficient inhibitory activities against a fungal protease. Thus, we propose that more abundant protease inhibitors in the outer cocoon layers may provide better protection for the cocoon. This study increases our understanding of the multi-layer mechanism of cocoons, and helps clarify the biological characteristics of cocoons. The data have been deposited to the ProteomeXchange with identifier PXD001469.